| In recent years,accelerating the development of multi-level capital markets and building a modern economic system have always been the focus of the government.On June 25,2018,five ministries and commissions including the People’s Bank of China,the Banking Regulatory Commission,and the China Securities Regulatory Commission jointly issued the "Opinions on Further Deepening the Financial Services of Small and Micro Enterprises",proposing to continuously deepen the system of stratification of the National Equities Exchange and Quotations(NEEQ)and reform of the trading system.As an important part of the multi-level capital market,the NEEQ market,based on serving innovative,entrepreneurial and growing small and micro enterprises,provides important financial support for the development of the real economy.The main content of the securities market microstructure theory is the securities trading mechanism,which is the decisive factor to decide the market spread.Since the market maker system was launched in August 2014,the trading mechanism design of the NEEQ market has been focusing on both inclusiveness and diversity,so as to meet the diversified needs of enterprises at different levels in the market.From August 2014 to January 2018,the NEEQ market has been implementing the trading system in which the agreement transfer and the market transfer are parallel.Since January 2018,the NEEQ market introduced the auction system.So far,the NEEQ began to implement the trading system in which the market maker system parallel to the call auction trading system.Most of the existing research literatures on the market maker system believe that,as a liquidity provider in the market,market makers can stabilize the market and discover prices.In the context of China’s emerging capital market,can the market maker system adapt to the new market environment and exert the expected effect? What are the limitations of the implementation of the market maker system in the NEEQ market and what roles does it play in promoting the NEEQ market? These have become an unavoidable issue in the applicability and effectiveness of trading system.In view of the above problems,the thesis evaluates and analyzes the implementation effect of the market maker system in the NEEQ market from the interaction between the enterprises and the market makers,and the liquidity effect of the market makers:First,in the theoretical analysis part,this paper combs the development of China’s multi-level capital market environment and system,the background and significance of the research on the NEEQ trading mechanism,and summarizes the classic literatures related to market microstructure theory,trading mechanism,liquidity and reputation theory.It sorts out the background of the NEEQ system and the reform of trading mechanism,compares and evaluates various trading methods,and analyzes its advantages and disadvantages.Through the above summarization and discussion,firstly,the institutional environment studied in this paper is clarified,the research shortages on related issues at home and abroad are understood,and the value and feasibility of the research topic are proposed.Secondly,the review of relevant literatures lays the theoretical foundation for this study,and provides the research basis for in-depth understanding of corporate behavior and multi-dimensional evaluation of market-making effect of market makers.Thirdly,by analyzing the development process of the multi-level capital market and the main system of the NEEQ,this paper helps to understand and explain the influencing factors of the relevant system.The reform of the trading mechanism of the NEEQ and the comparison of various trading methods provide an important institutional basis for analyzing the micro-motivation of the company’s choice of market-making transactions and further evaluating the liquidity effect of the market maker system.Second,in the empirical analysis part,this paper first tests the micro-motivation of mutual election between market makers and enterprises after the implementation of market maker system.Taking the enterprises that have been selected for market transfer during the 2015-2016 as research objects,this paper analyzes the transaction choice behavior from the perspective of the company and the market maker.From the perspective of the company,based on the liquidity demand,it is studied that whether the company with better quality is more likely to choose market making transfer,and whether the company with better quality is more favored by market makers after market making.From the perspective of market makers,the reputation variables of market makers are included to test whether the market makers with better reputations are more preferred to high-quality enterprises.In order to compare the behavioral differences of securities enterprises in performing different duties,host securities firm’s reputation is also included to test whether the quality of the brokers tends to choose high-quality enterprises.The above empirical analysis takes into account the behavior of enterprises and financial intermediaries in the market,provides good evidence for the micro-motivation of transaction mode selection.Third,using empirical research method to test the implementation effect of market maker system in the NEEQ market based on the difference-in-difference model(DID).Based on the existing research literatures,this paper has expanded the sample selection,index selection and research methods to comprehensively evaluate the net effect of the market maker system.In order to deeply analyze the influencing factors of the implementation effect of the market maker system,combined with the previous theoretical analysis,the number of market makers owned by the company,the company’s market value and the reputation variable of the brokers are included,and the influence of the three factors on the implementation effect of the market maker system is evaluated.In the test of the influence of the reputation of the broker firms,it is included in the comparative analysis of the reputation of the sponsoring brokerage firms and the reputation of the market makers,and at the same time provides evidence for the ―mutual selection effect‖ between the brokerage firms and the enterprises.Fourth,combined with the previous empirical design and research results,this paper makes use of the special phenomenon of ―Exit Market Making of the NEEQ Enterprises‖,and adopts institutional analysis,case studies and empirical research methods to comprehensively analyze the causes and consequences of the withdrawal and transfer agreement of market making enterprises.From the perspective of the selection between the NEEQ enterprises and market makers,it provides evidence for the micro-motivation of the transaction mode selection,and empirically analyzes the liquidity performance of the company after exiting the market making,further verifying the market effect of the market maker system mentioned above.Based on the above research content,this paper finds that: Firstly,the choice of trading method is the result of two-way mutual selection between the enterprises and the market makers.On the one hand,high-quality enterprises can overcome the limitations of agreement transfer to a certain extent after choosing market making,and gain more investors’ approval,so they tend to choose market making;on the other hand,after incorporating the reputation factors of securities firms,the analysis from the market maker’s perspective found that high reputation market makers tend to choose high quality enterprises to provide services,and there is a significant ―mutual selection effect‖ between them.However,there is no significant ―mutual selection effect‖ between high-reputation sponsored brokers and high-quality enterprises,for the sponsors have different responsibilities and the shortage of quantity.Secondly,by using the DID model to evaluate the liquidity effect of the market maker system,this paper finds that the market maker system can reduce the bid-ask spread and reduce transaction costs and stock volatility,but reduced the deal sizes.The market effect of the market maker system has "liquidity defects",and the results of the number of market makers,company market value,brokers reputation and other indicators show that they all compensate for the ―liquidity defect‖ of the market maker system: the number of market makers has a significant positive effect on the liquidity of the market maker system,the more market makers the enterprises have,the better the liquidity will be after market making;the company with the larger market value will be able to attract more investors to participate,and its liquidity will also be higher;after a company with high reputation market makers changes to market making,its liquidity performance will be significantly improved.In contrast,the reputation of the sponsored brokers has no significant influence on stock liquidity because it does not directly participate in stock trading activities.The above conclusions confirm that the number of market makers,trading risks and market maker reputation are important factors affecting the liquidity effect of the market maker system.Thirdly,through the analysis of the phenomenon of the NEEQ listed firms exiting market making,this paper finds that for the institutional motivation,due to the limitation of the old market maker system,some enterprises have to exit market making in order to control the dispersion of equity,restrict the purchase of ―three types of shareholders‖,and facilitate the exit of state-owned securities firms(individual enterprises)to make the IPO smoother.Some enterprises are facing equity acquisitions,increases of large shareholder holdings,and reductions.Due to the difficulty in realizing large-scale transactions under the market-making system,enterprises have to be transferred to agreement transfers;For the corporate micromotivation,enterprises actively opts out market making because of the liquidity problem,the empirical results show that the company’s deal sizes,company value and stock price have increased significantly after the company’s exiting the market making;For the market makers micro-motivation,after the implementation of the new system,due to the bad market quation,enterprises have to exit market making because of the exiting of market makers.The results comfirm the ―mutual selection effect‖ between the enterprises and market makers.It has important practical significance to test the rationality of the institutional arrangement of the NEEQ market by analyzing the micro-motivation of trading mode selection from the perspective of the enterprises and the market makers,and multidimensional evaluation of the policy effect of the market maker system.Combining the in-depth analysis of factors such as the number of market makers,the company’s market value,and the reputation of securities firms,it provides an important decisionmaking basis for understanding and explaining the behavior of NEEQ market enterprises and market makers.Combining theoretical analysis and empirical analysis,this paper explores the micro-motivation and liquidity effects of trading system,enriches and develops the trading mechanism under China’s national conditions,and has important theoretical and practical significance for improving China’s multi-level capital market system construction and promoting the development of market maker system in emerging capital markets. |
PDF Full Text Request