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上证180指数的成立事件对不同的流动性指标有相反的效果:一方面促进了成分股价差水平和交易信息对称程度的改善,另一方面又促使交易深度水平和交易活跃性的降低。这些流动性效应是由于机构投资者对上证180成分股偏好所造成的,机构投资者增加了上证180成分股的需求的同时减少了供给,导致了交易深度和活跃性的降低;机构投资者作为相对知情交易者,它们的偏好增加了市场的需求竞争程度,从而降低了交易者之间的信息不对称程度以及改善了市场价差水平。本文还建议创立上证180指数 ETF,因为根据国外的经验,ETF 可以有效地增强市场交易深度,从而弥补上证180指数在市场交易深度方面的负面影响。
The establishment of the SSE 180 Index has opposite effects on different liquidity indicators: on the one hand, it promotes the improvement of the level of constituent spreads and the symmetry of transaction information, on the other hand, it leads to the deepening of transaction levels and the decrease of trading activity. These liquidity effects are due to institutional investors’ preference for SSE 180 constituents. Institutional investors increased the demand for SSE 180 constituent stocks while reducing supply, resulting in a decrease in transaction depth and activity. As institutional investors, Relatively informed traders, whose preferences increase the degree of demand competition in the market, reduce the degree of information asymmetry among traders and improve the level of market spread. The article also suggests the creation of the SSE 180 Index ETF because, based on foreign experience, the ETF can effectively enhance the depth of market transactions to make up for the negative impact of the SSE 180 on the depth of market transactions.