The System Dynamics Analysis Of The NEEQ Heterogeneous Transaction Behavior

By the end of 2013,National Equities Exchange and Quotations(NEEQ)has expanded to the whole country,and with the implementation of listing scope unceasing expansion and market maker trading mechanism,hierarchical system and a series of system,the NEEQ has achieved rapid development(made great progress).Now the NEEQ has become the largest basic securities market in China.As an important part of the multi-level capital market in China and economic transformation and upgrade promote initiatives,the NEEQ in the rapid development,at the same time,there are also many problems,such as the higher investment access threshold,the investment value of listed,companies vary widely and lack of market liquidity.This paper aims to discuss the NEEQ maker trading mechanism and its market effect by using system dynamics method from the point of view of heterogeneous transaction behavior analysis.The overall ideas of the study is as follows: Firstly,the paper makes use of the market closing price of the the NEEQ market index,and analyzes the applicability and feasibility of the system dynamics method to the NEEQ in china.Secondly,this paper is based on the theory of market microstructure,the asset pricing model of heterogeneous subject transaction behavior analysis is based on the heterogeneous subjective analysis framework of Brock and Hommes(1997b,1998).And the qualitative and quantitative analysis of the influence of the change of the strategy parameters of the heterogeneous behavior investors on the price of the risk assets is given by using the system dynamics method and technology.In addition,the sensitivity of the parameters in the model and the influence of the parameter changes on the market price,also shows the corresponding statistical analysis.The study found that the differences in investor behavior,the impact of market stability in China's NEEQ market performance is also very obvious.At the same time,the typical non-linear structural features such as spikes,long memories show that the heterogeneous asset pricing model based on investors can reflect the real market characteristics,and the system dynamics analysis method is more Logical integrity and the full advantage of technology.In short,the market maker price discovery function isconducive to small and medium enterprises to reduce financing costs,but the quantity of liquidity differences and lack of market makers still exist in our current market maker trading system and can not solve the liquidity shortage of the new third market effectively.Based on the above research conclusion,this paper provides policy recommendations to expand and improve the three new board market maker system,lower investment threshold and open investment transfer mechanism.