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买卖价差限制对做市商报价影响的实验研究
Impact of different bid-ask spread limits on quotation of market makers: Evidencefrom a laboratory experiment
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中文关键词  做市商; 买卖价差; 股指期权; 行权日
英文关键词  market makers; bid-ask spread; stock index options; expiration date
基金项目  国家自然科学基金资助项目( 71173166; 71373202; 71671138)
学科分类代码  
作者单位E-mail
王文虎 西安交通大学管理学院 wangneko@163.com 
万迪昉 西安交通大学管理学院  
吴祖光 西安理工大学经济与管理学院  
中文摘要
      股指期权市场的繁荣与发展离不开做市商,但是中金所如何有效激励和引导做市商的交易行为呢?运用实验室实验方法,分析不同买卖价差限制对做市商买卖报价价差、成交量和利润的影响.研究发现,买卖价差限制越宽松,距离期权合约行权日的时间越长,做市商的买卖报价价差越大;买卖价差限制相同时,喜好风险的做市商买卖报价价差更大.此外,买卖价差限制越宽松,做市商的成交量越大,获得的利润越少,且二者波动性越强.但是,做市商的风险态度对其利润和成交量的影响不存在显著差异.因此,建议中国股指期权市场选择合适的机构投资者承担做市商义务,并通过适时适度调整买卖价差限制,合理引导做市商的买卖报价行为,有利于提高股指期权市场的流动性并改善价格发现效率.
英文摘要
      Market makers play an important role in the rapid development of stock index options markets. How does China's Financial Futures Exchange incentivize market makers to provide liquidity for stock index options? A laboratory experiment is conducted to analyze how different bid-ask spread limits affect the bid-ask spread,trading volume and profit of market makers. When bid-ask spread limits are made less restrictive and the time to option expiration is longer,bid-ask spread is wider. After controlling for bid-ask spread limits,the bid-ask spread of market makers who are risk preferring is wider. In addition,when bid-ask spread limits are made less restrictive,the trading volume of market makers is larger,the trading profit of market makers is less,and the volatilities of both trading volume and profits of market makers are higher. The risk attitude of market makers has no significant effect on the trading volume and profits of market makers. Therefore,regulators should choose some suitable institutional investors to undertake the obligations of marker makers who are quoting two-way prices to market participants in stock index options market; appropriate and timely adjustment is essential for bid-ask spread limits and thereby encourages market makers to maintain competitive quotes. All of these help to improve price discovery and liquidity in stock index options markets.
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