我国证券市场引入做市商制度研究(深交所的研究报告)

RESEARCHREPORT1“”——“”——2“”————“”“”“”“”“”“”“”“”3“”“”“”1STAQNET199119931990116STAQ“”1991916STAQ1993428NETSTAQNET1993-1994B119952“”1993STAQNET119941216-1821996924-2519961016219961999“5.19”“”“”2000345200232001241-474200052000367“”“”“”“”620011127-30720015200442000“”5NASDAQ886NASDAQNASDAQ1997OHROrderHandlingRules“”200311SETSmmSETS199710SETSSecuritiesElectronicTradingSystem“”1998Euronext20012001ETFs7JASDAQ“”“”9110ViswanathanWang2002Glosten19949200410NYSECentralLimitOrderBookCLOB8GlostenJain2002PeroldErik199711“”“”1997NASADAQNYSEBessembinder19981997NASDAQ1.04%NYSE0.78%NASAQ24.39%1997NASDAQ0.380.241.5%1%SETS0.6%0.25%1.34%0.5%11200192001NASDAQNYSE“”12NASDAQ19941997NASDAQ2001NASDAQ1210ChristieSchultz“”1/81/425“”13SETS1997NASDAQ200311SETSmm“”——DesignatedLiquidityProvidersDLPs132001LSE1997SETS11DLPs“”14“”15DLPsDLPs199810DLPsNYSESaitori“”DLPsDLPs“”NASDAQ1997199714DLPsDLPsDLPSNYSESpecialistNYSENYSE10%NYSE1999SaitoriNYSESpecialist1999Saitori151233.35%DLPs16“”“”“”——“”“”17“”“”“”18“”16172003330.0110.011813“”“”NASDAQLSENASDAQ199719IPO20211920NASDAQNADSDAQ12212001142223“”22152001SEAQInternational24SEAQInternational1“”25AIM15290%24SEAQInternational25ECNsNASDAQNASDAQNASDAQNASDAQNYSENYSE16T126“”“”“”2ticksize“”“Front-Running”“”“”262001221727NASDAQ28——“”“”“”“”EuronextLiquidityProvider“”“”“”2920901996152720033310.01/1%0.012003330.010.00128NYSENASDAQ200131215200149NASDAQ0.0129SEAQInternational18199810Xetra“”DesignedSponsor30MannVenkataramanWaisburd2002EuronextParis19951998564%2000NASDAQAMS/3“”30ETFs“”ETFsliquiditysupplier”30AMS/3AMS/3RTregisteredtraderRTRTRT19“”“”JASDAQJASDAQJASDAQJASDAQJASDAQEmergingStock“”1997NASDAQ3120004200472000430131quotedrivenorderdrivenSEAQ4822002620234123200132002523200271056510810101000300020012003315822002791943831%212002920033220032002520047226“”“”32200122332003624200330012020041220LOFs——9LOFs20042090LiquidityProvidersNASDAQSEAQ3320049823LPsLPsEuronextXetradesignatedsponsor“”NYSESpecialistLPs“”LPs1999“”ETFsLPsNYSENASDAQEuronextLPsLPsLPsLPsLPsNASDAQ“”100Euronext5Euronext24——NASDAQ5341NASDAQLSE342523NYSESpecialistSpecialistSpecialistEuronext4261Euronext2Euronext27“”28112“”23311232429“”——“”“”123034“”567“”“”“”31NASDAQ-JapanNASDAQ-Japan2001NASDAQJASDAQNASDAQNASDAQNASDAQ-JapanJASDAQ“”“”“”32——“”“”“”——332003113theLondonStockExchangeLSESETSmmSEAQFTSE250mid-capsSETSSEAQSETSmmSETSSETSregisteredmarketmakers“committedprincipalorder”ahybridsystemSETSmmLSESETSmm1997SETSLSEFurseSETSmmFTSE2502004AIMAIMAIMSETSmmSETSmmRegisteredMarketMakersFinancialServicesAuthority34——theCommittedPrincipalOrder6016:35606020043010%0.035%MinimumSubmittedOrderSizeSETSmmNormalMarketSizeNMS3525%35NMSNormalMarketSizeNMS12/10000NMS2.5%NMS201001535SETSmmfastmarket36SETSmmMarketMakerOrderSETSSETSmmSETSmm2ExposureRulesStatutoryExemptionsTariffExemptionsExposureRulesAgencyCrossRisklessPrincipalTransactionAtorOutside36fastmarket36WorkedPrincipalAgreementWPANMS880%StatutoryExemptionsCompaniesAct2093%Exchange'sRulesFTSE2505%FTSE25010%TariffExemptionsSEAQSETSmmCPO3SETSmm2003113SETSmm31200376.5200195SEAQ5SETS2003122212SETSmmITG2003121SETSmm140.1%2003113SETSmm312006.5200195SEAQ5SETS2003122212SETSmm8SEAQ3SETSITG372003121SETSmm140.1%29.2%3SETSmm18.2%41/52003911128ITGSEAQSETSmm113theaveragetime-weightedspreadsATWS38911031ATWS1.78%SETSmmATWS1.07%40.1%SETSSET2SET3ATWSSETSmm1.14%6.66%SETSmmATWSSET2SET3ATWSSEAQ195179ATWS®3816ATWSSETS5ATWS5ATWS3.34%1.61%51.8%SETSmm3.6424.0089.15%5.03%4.82%18.2%SETSmm7.26.91.22004218ITGSETSmm113SETSmm200130ATWSSETSmm5.40%5.60%11313020.2%SET145.4%SET2SET335.9%1/461.2%DepthWeightedSpreadsDWS39200311192004130“”NMSDWSATWS2.3%1.6%1.0%“”DWS39DWSATWSNormalMarketSizeNMSATWSATWSDWSDWSLSENMSDWSDWSDWSDWSSETSmmDWS3920031223LSESETSmmCPOLSE20031223LSEIOB40IOBSETSmm1997SETSSEAQSEAQISEAQLSE199710SEAQSETSSecuritiesElectronicTradingSystemLSEhybridmarket41LSESETSSETSmm42SETSLSESEAQSETSmm2003113LSEhybridtradingsystemSETSmmSETSLSE40IOBInternationalOrderBookLSEDRsSETS41SETS42SETSmmLSESEATSPlusSEATSPlusStockExchangeAlternativeTradingServiceSEAQSEAQ40SETSmmSEAQSEAQSEAQAlternativeTradingServicesATS43NASDAQATSSETSmmSEAQInvestmentServicesDirective2006SEAQSETSmmSETSmmSEAQFTSE250mid-caps2003128200311MonthlyMarketReportforNovember2003SETSmmSETSmm40%StrongstartforSETSmm;spreadsnarrowby40%onaverageSETSmm2003105978984165%SETS24.37%3.83FTSE25040%20031017811107LSESETSmm41SETS44LSELSE1997SETSSETSmm45SETSSETSSETSFTSE100SETSSEAQSEAQISETSLSELSESETSmm“”“”Euronext2000922200244SETSmm“SETSmm”45SETSmmSETSmmmarketmakerSETS42EuronextEuronextEuronextEuronextMarketModelEMMEuronext——liquidityProvidersLPs2001Euronext——2002Euronext200346protectagainstvariationsinvolatilityonthemarketguaranteetransactionsatalltimesboostthevolumeoftransactionsEuronextNSCNouveauSystèmedeCotation47LPsLPs1Euronext100LPsEuronext100LPsEuronext100LPs33Euronext100LPs2LPs1Next1502AEXAMXBEL20CAC40PSI20SBF120Euronext1003250043LPs461996NouveauMarchè/introducteur-teneurdemarchè/200130-3247NSC2043EuronextLPs1PermanentLiquidityProvidersPLPsPLPsPLPs2LPsAuctionLiquidityProvidersALPsALPSLPsEuronextLPsPermanentOne-side