The Research On Trading Mechanism And Quality Of Stock Market

In recent years,the original trading mechanisms of China's stock market has continuously improved and innovated.However,the phenomenon of abnormal fluctuations still occurs frequently.This paper points out that the serious deviation between the stock market and the real economy also implies the defects of the market trading mechanism and regulatory mechanism.The innovation of financial product and trading mechanism is an important factor to improve the quality of China's stock market.However,the inappropriate institutional arrangements of the regulatory agencies in the implementation and adjustment of the trading mechanisms have intensified the instability of the securities market.On the research of the trading mechanism,We discusses the effect of margin buying and short selling asymmetry on stock pricing,as well as the effect of trading restrictions of stock index futures on cross-market liquidity during abnormal fluctuation period.From the perspective of microstructural theory and behavioral finance,this paper expounds the micro-mechanism that affects the trading behavior of investors and the market quality.Based on the equilibrium model of heterogeneous investors,this paper introduces the real intrinsic value of stocks as the benchmark for judging the efficiency of price discovery.Then,this paper introduces the margin buying mechanism while considering the short selling restrictions of securities lending.Afterwards,this paper empirically tests the relationship between the asymmetry of the margin trading mechanism and the efficiency of stock pricing.The empirical results further validate the conclusion of the mathematical model.Contrary to previous literatures,this paper believes that the short-selling restriction does not necessarily lead to a decline in the efficiency of stock pricing.However,when the difference in the expectations of heterogeneous investors exceeds a certain threshold,and the scale of margin investors expands,the negative impact of short selling restriction amplifies,causing the stock price far away from its true value.Secondly,this paper extends the influence of the trading mechanism from a single market to cross-market.Based on the existing “rational panic” model,this paper constructs a static equilibrium model with variable risk aversion.Also,crossmarket hedging traders are added into this model.The theoretical results show that investors tend to sell their spot position during downward market due to lack of effective hedging tools when stock index futures' trading is limited.This causes further exhaustion of liquidity and leads to extreme declines.Subsequently,this paper empirically tests the positive feedback effect of liquidity in the futures and spot markets during periods of abnormal fluctuations,and verifies the risk transmission and spillover of stock index futures to the spot stock market.However,"mathematical model + empirical test" makes it difficult to evaluate the effectiveness of the transaction mechanism in a certain market environment beforehand.At the same time,this paper notes that the existing literature on market quality pays less attention to the normal function of financial markets.This paper uses computational simulation to solve these problems.In addition,the simulation experiment makes it easier for us to focus on whether basic functions of stock market are functioning properly,such as pricing efficiency and risk hedging.This paper provides an important reference for regulatory agencies to explore the impact of trading mechanisms on the securities market.It also helps to assess the effectiveness of current market trading mechanisms,and improve the rationality of designing market trading mechanism afterwards.In advancing the reform of the Ashare market trading mechanism,regulators should fully consider the inherent logic and problems of market operations,and demonstrate the positive and negative effects of various trading mechanism under different market conditions.