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1 * MRR, MRR, A, ( ) MRR, ;,, MRR, MRR, A MRR JEL G11 G12 G14 ( ) ( ) ( ),, 1980,,,, Demsetz(1968), Smidt(1971) Garman(1976) Amihud and Mendelson(1980) O Hara and Oldfield(1986) Madhavan and Smidt(1993), ( ) ;,Glosten and Milgrom(1985) Easley and O Hara (1987) Kyle(1985),,,, (dealer market),,, *,, ;, ( ) ; ( ) ; (07JA790077); ( [2008] 890) 11

2 MRR, (Tokyo Stock Exchange) (Toronto Stock Exchange),, (limit order),,, (limit order book),, Glosten(1994) Rock(1996) Seppi(1997) Foucault(1999),,, (2003) (2002) (2002) (2004), ( ), L U,, (2006) 30,,, (2005), (2008) Sandas(2001) Glosten and Harris(1988), Glosten- Harris,Sandas(2001), ( ), (MRR ),,, MRR, MRR ( ) Madhaven,Richardson and Roomans(1997) ( MRR ),,,, 12

3 ( )MRR MRR Madhaven Richardson and Roomans(1997), Glosten and Milgrom(1985), 1 Glosten and Milgrom(1985), μ t = μ t-1 + θ(x t - E [x t x t-1 ]) + ε t (1) μ t t x t t x t =1, x t =-1 x t - E [x t x t-1 ], t θ > 0,, ε t, (white noise),, p t = μ t + 准 x t + ξ t = μ t-1 + θ(x t - E [x t x t-1 ]) + 准 x t + ε t + ξ t (2) 准 > 0,, ξ t (2), 准 x t θ(x t - E [x t x t-1 ]),,Madhaven,Richardson and Roomans (1997), 2(θ + 准 ) ( ) MRR,, ( ),,,, 1. (θ), Kaniel and Liu(2006) (patient uninformed investors),, Bloomfield,O Hara and Saar(2005),, (pickingoff),,goettler,parlour and Rajan(2009),,,, MRR,, ε t 1,, 13

4 MRR,,MRR,,,, θ t = δ+ κ (3),κ,δ MRR 2. ( 准 ),,, MRR 准?, ( ), Cao,Hansch and Wang(2009), ( ) WP, Σ 5 j=1(qbuy j Pbuy j + Qsell j Psell j ) WP = /MIDprice -1 (4) Σ 5 j=1(qbuy j + Qsell j ) Qbuy j Pbuy j (i=1,,5) 1 5,Qsell j Psell j (i=1,,5) 1 5,MIDprice,, MIDprice, 1,,, MIDprice,,,, ( ),, ( ),,, 准 t WP,, 准 t WP, 准 t, 准 t = γ + β 1 WP t + β 2 I 2,t WP t (5) γ,i 2,t, 0, 1,, 准 t=γ+β 1 WP t,, 准 t=γ+(β 1 +β 2 )WP t ( ), β 1 < 0,β 2 > 0 β 1,, 准 t MRR, 0, 14 准 t E(WP t ) = E(WP t I 2 =1) = E(WP t I 2 =0) = 0 (6) E( 准 t) = E( 准 t I 2 = 0)P(I 2 = 0) + E( 准 t I 2 = 1)P(I 2 = 1) = E(γ + (β 1 + β 2 )WP t I 2 = 1)P(I 2 = 1) + E(γ + β 1 WP t I 2 = 0)P(I 2 = 0) = γ + (β 1 + β 2 )E(WP t I 2 = 0)+ β 1 E(WP t I 2 = 1) = γ (7)

5 准 t, ( ) 1. MRR, p t = μ t-1 + (δ + κ )(x t -E [x t x t-1 ])+ (γ + β 1 WP t + I 2,t β 2 WP t )x t + ε t + ξ t (8) Madhaven,Richardson and Roomans(1997),E [x t x t-1 ] = ρx t-1, ρ x t, p t-1 = μ t-1 + 准 t-1 x t-1 + ξ t-1 (4.8), Δp t = α + (γ + δ)x t - (γ + δρ)x t-1 + κ x t - κρ x t-1 + β 1 (WP t x t - WP t-1 x t-1 ) +β 2 (I 2,t WP t x t - I 2,t-1 WP t-1 x t-1 ) + ε t + ξ t - ξ t-1 (9) α,β 1,β 2,κ,δ,γ ρ 2., (GMM),,,GMM, t,,gmm,, ( ),,,, φ, φ,g T (φ), φ 赞 GMM= arg min φ 赞 {g T (φ 赞 ) W T g T (φ 赞 )} (10) W T,,W T, ;,W T -,, u t = ε t + ξ t - ξ t-1 E! x t x t-1 - x 2 t ρ u ux t ux t-1 " u x t $ u x t-1 u(wp t x t - WP t-1 x t-1 ) u(i 2,t WP t x t - I 2,t-1 WP t-1 x t-1 % & ) = 0 (11) 15

6 MRR, 0( 1 ),, Madhaven,Richardson and Roomans(1997), 4, , , ,, ( ),, ( ), (pooling),, 1, 2 1 Δp Δp x t WP t WP t E E E E E E-06 1, Δp 0.018, 1.8, Δp, ( ),,, GMM 0.026, 0, 1 38,, ( ) WP t, 10E-5, WP t 10E-3, 26, E(WP t ) = E-5, 10E-7, 10E-6

7 Δp,, 1, 10E Δp x t WP t WP t 1 Spread RLTVspread Δp E E E E E E E (Spread) (RLTVspread), 2, WP t, WP t,, L, (,2003;,2002;,2002;,2004),, ( ) 3-6 4, 3-6, 1. ( , ), ( 35.56%, 47.62%, 28.89%, 35.56%), 3 1( ) t α 4.21E % β * 74.44% β * 80.00% δ * γ * κ * 91.11% ρ * 88.89% t, * 1% 17

8 MRR 4 2( ) t α -2E % β ** 66.67% β ** 67.86% δ * 97.62% γ * κ * 89.29% ρ * 98.81% (1) t, * ** 1% 5% ; (2) (outlier), 10000,,, ( ) t α 7.39E % β * 73.33% β * 75.56% δ * γ * κ * 90.00% ρ * 98.89% t, * 1% 6 4( ) t α -9.2E * 35.56% β * 76.67% β * 74.44% δ E * γ * κ * 91.11% ρ * 98.89% t, * 1%,, Δp 2. WP t β 1,β 2, β 2 β 1, ( ),,β 1 β 2, ( β % 66.67% 73.33% 18

9 76.67%,β 2 80% 67.86% 75.56% 74.44%), ( ) MRR,, 准 t=γ+β 1 WP t ;, 准 t=γ+ (β 1 + β 2 )WP t 3-6 2,β ,(β 1 + β 2 ) 1.21, WP t = , ,, 3. 1,,,,,κ ( 91.11%% 89.29% 90.00% 91.11%),,κ , 1 1.1E-05, δ, 4. MRR δ γ ( 360, 1 δ,γ ), (10E-3), 5. ρ, Madhaven,Richardson and Roomans(1997), ( ), E(x t =x t-1 x t-1 ) ρ ( ) 0.5 MRR ( ),MRR (implied spread) 2[E(θ t )+E( 准 t)], E ( 准 t) = γ, 2(κ E [ 1 ] + δ + γ], 2[κ (1/ ) + δ + γ] Spread RLTVspread spread RLTVspread 2 7, Madhaven,Richardson and Roomans (1997), L,, 1, 19

10 MRR, 1 MRR,, ( ) MRR, ( ), MRR,,,,, (2008), (2005), (2004),, 3 (2006),, 6 (2002),, 1 (2002),, 4 (2003),, 6 Amihud, Y. and H. Mendelson (1980) Dealership Market Market-Making with Inventory, Journal of Financial Economics, 8, Bloomfield, R., M. O Hara and G. Saar(2005) The Make or Take Decision in an Electronic Market Evidence on the Evolution of Liquidity, Journal of Financial Economics, 75, Cao, C., O. Hansch and X. Wang (2009) The Information Content of an Open Limitorder Book, Journal of Futures Markets, 29, Demsetz, H.(1968) The Cost of Transacting, Quarterly Journal of Economics, 82, Easley, D. and M. O hara (1987) Price, Trade Size, and Information in Securities Markets, Journal of Financial Economics, 19,

11 Foucault, T.(1999) Order Flow Composition and Trading Costs in a Dynamic Limit Order Market, Journal of Financial Markets, 2, Garman, M. (1976) Market Microstructure, Journal of Financial Eeconomics, 3, Glosten, L. (1994) Is the Electronic Open Limit Order Book Inevitable?, Journal of Finance, 49, Glosten, L. and P. Milgrom (1985) Bid, Ask and Transaction Prices in a Market-maker Market with Heterogeneously Informed Traders, Journal of Financial Economics, 14, Glosten, L. and L. Harris (1988) Estimating the Component of the Bid-Ask Spread, Journal of Financial Economics, 21, Goettler, R., C. Parlour and U. Rajan (2009) Informed Traders and Limit Order Markets, Journal of Financial Economics, 93, Kaniel, R. and H. Liu(2006) What Orders do Informed Traders Used, Journal of Business, 79, Kyle, A. (1985) Continuous Auctions and Insider Trading, Econometrica, 53, Madhavan, A., M. Richardson and M. Roomans (1997) Why do Security Prices Change? A Transaction-Level Analysis of Nyse Stocks, Review of Financial Studies, 10, Madhavan, A. and S. Smidt(1993) An Analysis of Changes in Specialist Inventories and Quotations, Journal of Finance, 48, O'hara, M. and G. S. Oldfield(1986) The Microeconomics of Market Making, Journal of Financial and Quantitative Analysis, 21 (04), Rock, K.(1996) The Specialist s Order Book and Price Anomalies, Review of Financial Studies, 9, Sandas, P.(2001) Adverse Selection and Competitive Market Making Empirical Evidence from a Limit Order Market, Review of Financial Studies, 14, Seppi, D. (1997) Liquidity Provision with Limit Orders and a Strategic Specialist, Review of Financial Studies, 10, Smidt, S. (1971) Which Road to an Efficient Stock Market Free Competition or Regulated Monopoly?, Financial Analysts Journal, 27, ( ) 21

12 Inflation and Price Level Target HUANG Da (Renmin University of China, Beijing, , China) Abstract In view of the social concern of the inflation and the argument for basically stability of general price level, this article makes an exploration of the fundamental issues about inflation including its definition, cause and effects. In regarding to China s economic situation, the article argues that the management of inflation should submit to the core task of specific periods and so a practical attitude towards inflation is necessary. Based on this type of perspective the article proposes several policy recommendations. Key Words Inflation; Price Level Target; Deflation; Inflation Expectation JEL Classification E31; O11; P22 Bid-ask Spread and Limit Order Book An Empirical Study of the Time-varying MRR Model ZHENG Zhenlong DAI Song (Department of Finance, Xiamen University, Xiamen, , China; Huatai Securities CO., LTD, Nanjing, , China) Abstract The purpose of this paper is to investigate the relationship between those information and the bid-ask spread in Chinese stock market. The authors modified the MRR model which is widely adopted in analyzing the components of bid-ask spread by introducing limit order book information proxies as state variables and turn the original model into a more flexible time-varying model to analyze how order book information would affect the components of the bid -ask spread. The empirical study implies two main conclusions (1) the selling pressure will significantly affect the liquidity cost parameter of the original MRR model and that this effect is asymmetric between buyer and seller initiated orders;(2) the order quantity of the whole order book can reveal additional information beyond the transaction flows and have significant impact on the information cost parameter of the original model. Moreover, the empirical results indicate that the intraday pattern of the implied spread which is derived from the time varying model is highly consistent with that of the real bid-ask spread. All the facts above imply that the formation mechanism and intraday pattern of bid-ask spread in Chinese stock market can be well explained by the modified time-varying MRR model. Key Words Limit Order Book; Time Varying MRR Model; Bid-Ask Spread JEL Classification G11; G12; G14 Fluctuations of World Commodity Prices and Domestic Inflation Evidence from China CHEN Yucai (People s Bank of China Dalian Central Sub-branch, Dalian, , China) AbstractChina s huge demand for primary commodities determines that price fluctuation of primary commodities have 123

2015 年第 12 期 17 贷资产证券化进入常态化的稳健发展轨道, 是我国政府学者及业内人士应予关注的问题 ( 一 ) 流动性相关研究综述资产证券化产生于 20 世纪 60 年代末的

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