| The new third board market of our country began in 2006, its development is slow before 2013.With the relevant policies to support development of the new three board, and it introduced market-maker system for the first time. Under the stimulus of the multiple positive, the amount of listed companies have a explosive growth in 2014 and 2015. The new third board market has 5129 listed companies in the end of 2015, which is more than 2014 by 3557 companies. It had 2794 listed companies on July 21, 2015, which is more than the sum of the number of listed companies in Shanghai and Shenzhen A-share for the first time. The day is worthy to be remembered by the new third board market and China's capital market. The pyramid form of China's capital market is being established. Until May 20, 2016, the new three board listed 7284 companies.1220 new listed in the first quarter of the total enterprises, which is close to the sum of 2014 listed.With the increasing amount of listed companies in it, Its market positioning is also gradually clear, its mission is to offer development services for innovative, entrepreneurial, growth of small and medium-sized enterprises. It has “incubator” and “reservoir” function for main board and Growth Enterprise Market. The rapid development of the new three board market,which provides a more way to use capital markets solve the problem of financing difficulties, financing expensive and booster industry transformation and development for micro, small and medium enterprises. At the same time, it is significant for optimization and transformation of country economic structure, and for development the multi-level capital market.The new third board market introduce the market-maker system for the first time on August 25, 2014, In the end of December 2015, market share increased from original 3.8% to 21.74%. The proportion has a great increase. Market maker system has become a new trading mechanism in the new third board market. With the continuous improvement of the market-maker system, its status will be more and more important. the market-maker system has been running for a year and a half, in order to improve the market- maker system, it is necessary to examine the effect. whether a trading system is specific and reasonable, we generally evaluate it from three aspect, the liquidity, the stability and the effectiveness. Stability can comprehensively reflect stock price behavior, it is a effective measure for market quality and efficiency. On the one hand, it has relationship with the securities themselves financially and microscopic factors such as market structure, On the other hand, it is directly related to macro economic conditions and risks. When a market is to take the new trading system, under the existing conditions, we should study the relationship between the volatility and the new system.The purpose of this research is whether the market-maker system has a influence on stock volatility, whether it has the effect of stable stock prices. In view of this, based on the existing theory and literature of the market microstructure and corporate fundamentals index impact on the volatility, the paper introduced firstly the concept, classification and evaluation standard of the system, and introduced the development course of new three board market and the comparison of existing trading system.Then, this paper reasonably selected market-maker samples and samples of the Growth Enterprise Market,it has Per 5 yield variance as a measure of the volatility of stock index,which cut out the macro factors. Main factors which affect the stock volatility are focused on the micro level. the trading system and indicators that can represent the enterprise fundamental financial are explanatory variables. In the model, the trading system is set to the dummy variables, which is represent the bidding trading system and market maker system. From the enterprise's solvency, growth, scale, profitability, industry attribute five aspects, we respectively selected the asset-liability ratio, sales growth, total assets, total assets growth rate, earnings per share and variable of industry index. We have the empirical analysis of the market maker system's impact on the volatility of stock by building a multivariate regression model. In general, This model has a certain credibility.the influence between the market-making system, Corporationns fundamentals and stock volatility is considered in this model.In this paper, the main conclusions are as follows:Firstly, trading system variable is significant on 5% significance level testing. That is to say, different trading system has influence on stock volatility. When we set maket-maker as “1”,it is maket-maker system, we can find, The coefficient is negative. market-maker system have the effect of reducing the volatility of stock. This proves that the new three board market introducing market-maker, which is reasonable and effective.Secondly, In the indicators of enterprise financial, Only the total assets,earnings per share and industry variables passed the test of significance. And total assets and earnings per share are conform to the assumptions and the research achievements of predecessors. To variables for the industry, its impact on the stock volatility is also significant. But the asset-liability ratio, sales growth rate and growth rate of total assets is not through the test of significance. In order to meet the demands of model test, we do not have the insignificant indicators In the final model. But it does not mean that these indicators has no effect on the volatility of stock, may be these indicators has serious lag.A stable stock market is helpful to maintain the stability of financial markets and enhance the confidence of investors. As the new three board is still in early stages of development, The system remains to be perfect. the key to develop new three board market is that how to improve in accordance with the laws and characteristics of its own trading system. In view of the empirical research results, This paper provide some suggestions from the constructions of market-maker system and improvement of the supporting measures. |
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