中国资本市场微观结构及其对资产定价机制的影响

Aiming at the microstructure of important effect on the mechanism of asset pricing, the project systematically studied the Microstructure of the China Stock Market and its effect on the mechanism of asset pricing. There are main research contents as following:(1)analyse the Micrcstructure of the China Stock Market.(2)study the asymmetry information of the effect on the investor's trading strategy and the price behavior. (3) study the systemic risk management under the security mechanism of short constraint and no-dealer. (4)study the mechanism of market manipulation. Finally, the project maked the valuable suggestions about the improvement of the Microstructure of the China Stock Market and provided the theory framework about the Microstructure of the effect on the mechanism of asset pricing.

本项目结合我国实际，综合运用多种现代科学分析方法，对我国及国外成熟市场微观结构进行系统地分析研究；对纯经纪人市场中信息不对称对资产定价机制、无卖空且无做市场市商环境下的系统风险管理及市场波动性以及预期结构、资金分布结构对市场价格行为的影响等进行深入、系统地研究。为建全我国资本市场、完善其定价机制提供理论依据和对策建议。