| In August 25,2014,China's National Equities Exchange and Quotations(NEEQ)officially introduced market maker trading system to activate market transactions and improve market liquidity.The move means that companies listed on NEEQ are free to choose a way of dealing with a negotiated transfer or a market transfer.Under the way of market making transfer,market makers offer bilateral quotas for listed companies without interruption,and buying or selling underlying stocks with their own funds are intermediary platforms for market transactions between enterprises.When the market trading system is introduced,whether the price formation mechanism of NEEQ is more mature is the topic that scholars have always paid attention to.Among the many indicators to evaluate the maturity of the securities market pricing mechanism,the volatility of stock prices is a very effective and widely used index.This paper starts from the level of stocks,the stock price volatility measure selection indexes,first make a distinction between the stock price volatility,define the normal price volatility and extreme volatility,followed by descriptive statistical analysis to introduce market trading system impact on stocks normal volatility and extreme volatility,the fluctuation of stock prices before and after the introduction of data the market maker system of double difference analysis,to verify the conclusion,draw a conclusion.The main conclusions obtained in this paper are as follows:First,the market maker system slowed down the stock price fluctuation of t NEEQ.After introducing the market,the mean value of the stock price fluctuation of all the enterprises decreased significantly during the sample period.Second,the market maker system did not reduce the extreme fluctuations in the stock price of t NEEQ.After the introduction of market making,the peak and probability of the extreme volatility of the sample whole in the sample period did not decrease.Therefore,in order to improve the price formation mechanism of NEEQ,according to the number of market makers in the market,the proportion of high peak and extreme volatility in stock price volatility,this paper thinks that regulators can take the following methods to increase the competition of NEEQ maker subject qualification,appropriate to relax the market maker;improve the evaluation and incentive mechanism;strengthen the supervision of market transactions,increase the punishment of illegal trading,and gradually establish a competitive market maker market.. |
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