Non-symmetric Trading Mechanism Design Researchof The Multi-layer Capital Market In China

The multi-layer capital market is the need of China’s capital market reform and development, and improves the financial market system; the introduction of the GEM is an important symbol of perfect multi-layer capital market in China. Multi-layer capital market system is to meet a wide range of financing needs, and is to ease the financing difficulties of SME, but also is to meet the diverse investment needs. As the mean of Quote change limit measures to correct market, it has varied degrees of impact for its stock market running.According to the volatility feedback and leverage related theory of the asymmetric based on Multi-layer capital market in China, we prove design of multi-layer capital market trading mechanism, combine with the actual operating conditions of our multi-layer capital market, analyze yield characteristics of it from empirical point of view, the relationship between risk profile and rate of return and risk, and the linkage between the motherboard market, the SME board and GEM. For the quantitative characteristics of the actual operation of China’s multi-layer market system with a uniform trading mechanism design does not match the problem, we propose a view of the asymmetric design of the trading mechanism, and focus on the number of China’s multi-layer capital market system trading mechanism of the asymmetric design interface to determine the implementation of the difference in price limits, so the SME Board and GEM truly reflects the level of risk allocation, in order to ensure the consistency of resource allocation and risk allocation, to optimize the multi-layer capital the purpose of building functioning of the market system.On the basis of the different stages of the trading system of China’s stock market limit visits by the experience of the operation of the market characteristics of the mechanism of China’s symmetry Price Limit, we reveal the mechanism of the asymmetric effect of symmetry of Price Limit, and this asymmetric effect explains from the perspective of behavioral finance. At the same time, use of the VF-EGARCH (1,1)-M model based on the value of the function theory, analyze the asymmetric effect of China’s stock market symmetry limit mechanism, and combine with the use of extreme value theory, non-symmetry up the optimal design of the mechanism of the decline limit, test the optimal design by Monte Carlo simulation technology. The results show that the mechanism of this asymmetric adjustment not onlyconducive to the correct rate of return skewness and reduce risk, but also beneficial to enhance investors’expected return is a typical Pareto.