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首页> 外文期刊>Journal of advances in management research >Market microstructure: a comparative study of Bombay stock exchange and national stock exchange
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Market microstructure: a comparative study of Bombay stock exchange and national stock exchange

机译：市场微观结构：孟买证券交易所和国家证券交易所的比较研究

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Purpose - The present study seeks to investigate the relative edge between the market microstructure of the two leading stock exchanges of the Indian capital market, that is BSE and NSE with a focus on analysing their trading mechanism, efficiency, liquidity and volatility. Design/methodology/approach - We analyse the microstructure of BSE and NSE on the basis of: (1) trading mechanism - ownership structure, listing of securities, trading system and settlement and clearing process; (2) information efficiency using unit root test, serial correlation, runs test, variance ratio and the ARIMA model; (3) liquidity using trading statistics no. of listed Companies, market capitalisation, no. of trades etc. and (4) volatility using standard deviation and GARCH(1.1) model. Findings - A comprehensive scrutiny on microstructure of BSE and NSE makes it evident that the two leading stock exchanges of India are mostly similar and leave no scope to choose between them. Both the exchanges are demutualised corporate entities with a fully automated trading system in an order-driven market, informationally inefficient as evidenced by the predictability of returns, have shown tremendously growing trading statistics and by and large a declining trend in volatility over the years. Practical implications - Understanding the components of the microstructure black-box will provide the regulatory bodies with an intellectual framework to strengthen the market architecture. Both the exchanges will get aware of the dynamics of trading, can grow to be more competitive and attract more firms for listing and investors for trading of securities. Also, investors, portfolio managers and equity analysts will be able to make better investment strategies by understanding how the market works. Originality/value - Research in the area of market microstructure has been severely neglected, especially in the context of the Indian market. India is the world's fastest growing economies and we have witnessed tremendous reforms in the capital market. The past two and a half decades have brought about several innovations via demutualisation, screen-based trading, emergence of clearing corporations, innovative financial products and intense use of IT in the Indian stock market. A spurt of reforms and the emerging environment make it crucial to deeply analyse the market structure and design of two premier stock exchanges of India-BSE and NSE.
机译：目的 - 目前的研究旨在调查印度资本市场的两个领先股票交易所市场微观结构之间的相对边缘，即BSE和NSE，重点是分析其交易机制，效率，流动性和波动性。设计/方法/方法 - 我们在基础上分析BSE和NSE的微观结构：（1）交易机制 - 所有权结构，证券市，交易系统和结算和清算流程; （2）信息效率使用单位根测试，串行相关性，运行测试，方差比和ARIMA模型; （3）流动资金使用交易统计号。上市公司，市场资本化，没有。交易等和（4）使用标准偏差和GARCH（1.1）模型的波动率。结果 - 关于BSE和NSE的微观结构的全面审查使其明显成为印度的两个领先的股票交易器大多是相似的，并且在它们之间没有选择。交易所双方都有在秩序驱动的市场中具有全自动交易系统的恶化的公司实体，这是由于返回可预测性证明的信息效率低下，多年来展示了贸易统计数据越来越多的交易统计数据和大幅下降的趋势。实际意义 - 了解微观结构黑匣子的组件将提供具有智力框架的监管机构，以加强市场建筑。两家交易所都会了解交易的动态，可以增长更具竞争力，并吸引更多公司的上市和投资者进行证券交易。此外，投资者，投资组合管理人员和股权分析师将能够通过了解市场如何运作方式来提高投资策略。原创性/价值 - 市场微观结构领域的研究受到严重忽视，特别是在印度市场的背景下。印度是世界上增长最快的经济体，我们在资本市场上见证了巨大的改革。过去两年半的几十年来带来了若干创新，通过贬低，基于屏幕的交易，清算公司的出现，创新的金融产品和印度股票市场的强烈用途。改革和新兴环境的刺激使得深深分析了印度两首总理股票交易的市场结构和设计至关重要。

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