The Optimization Of Market Design And Price Discovery

The optimization of market design is the core content in the development of securities market.With the acceleration of the construction of China’s multi-layered capital market,how to develop the optimal trading rules for specific market characteristics has become a realistic problem that needs to be solved.Based on the market microstructure theory,this paper explores the impact of trading mechanisms on the price discovery process under the condition of uneven information distribution,derives the equilibrium relationship between market-clearing time interval and price discovery efficiency,and uses the high-frequency transaction data and order book data to systematically analyze the characteristics of asset price behavior in the development of Chinese securities market.It provides theoretical and empirical basis for the design of Chinese securities market.The specific research content mainly includes the following five aspects:Firstly,study of market clearing time interval and price discovery efficiency.The core issue in the design of periodic auction is how to weigh price discovery efficiency and the uncertainty of asset value,so as to set the optimal market-clearing time interval.This part constructs an auction market clearing model with information friction and informed trader learning mechanism under the framework of rational expectations,and discusses the impact of market clearing time interval on price discovery efficiency,asset value uncertainty as well as liquidity risk.Meanwhile,explore the influencing factors of the optimal market-clearing time interval.Secondly,a comparative study of price discovery in auction market and after-hours trading market.Based on the reform of the trading system of the New Third Board market,this part explores the optimal trading path for the selection problem of block trading,and compares the difference between price discovery efficiency and liquidity risk in auction market and after-hours trading market.From the number of informed traders and market-clearing time interval,we analyze the applicable conditions of auction market and after-hours trading respectively.Thirdly,study of abnormal volatility trading halt and price discovery efficiency.This study distinguishes the reasons for abnormal volatility by introducing noise trading risk and the uncertainty of asset value,and then discuss the market clearing process when implementing the trading halt under different conditions.On one hand,abnormal volatility trading halt helps increase the number of traders,which helps reduce the pricing error.On the other hand,abnormal volatility trading halt would increase the uncertainty of asset value,which would increase the pricing error.Based on this logic,this study constructed a market clearing model including clearing time interval,learning process of informed trader and information friction.Then we study the effects of abnormal volatility trading halt on price discovery efficiency and liquidity risk.Fourth,study of jump risk and price discovery.To begin with,based on the classic BNS model and C＿TMVP model,this part estimates the jump of Shanghai Stock Index,and use it to describe the price integration process of macro information.Then analyze the pricing power of jumping risk through the moving window regression equation.Through establishing an analysis framework for market liquidity change-jump-asset price changes,this study divide liquidity into expected transactions and information transactions,and explore the pricing principle of jumping risk by combining with the continuous and jump components of volatility.Fifth,study of liquidity risk and price discovery.This part uses the continuity degree of bid-ask quotes to measure the liquidity marginal cost,which can fully reflect the liquidity information including market depth,flexibility and tightness.To begin with,this study examines the effect of marginal cost of liquidity on micro-scale asset price changes.Then,this paper verifies that whether market manipulation strategies are more likely to appear on less liquid assets from the perspective of liquidity and market manipulation,which can provide new evidence for liquidity and price inertia.