Efficient market between stocks and synthetic stocks in mirror

This study examines efficient market between stocks and synthetic stocks in Mirror during January 2021 to May 2022 by using the Vector Autoregressive model. The empirical results indicate that the existence of synthetic market does not degrade the real market and it also makes the real market more efficient, as seen in the case of Netflix. The study find that the synthetic market has shortened the period of shocks in the year 2022, and the results from the forecast error variance decomposition have improved compared to the year 2021, due to the higher proportion of synthetic stock and it takes three days reduction from the year 2021 until its stable.

本研究采用向量自回归模型（Vector Autoregressive Model），对2021年1月至2022年5月期间Mirror市场内股票与合成股票（Synthetic Stock）之间的有效市场（Efficient Market）关联展开考察。实证结果表明，合成市场的存在并未削弱真实市场的有效性，反而如奈飞（Netflix）案例所示，提升了真实市场的运行效率。研究发现，合成市场缩短了2022年的市场冲击周期；同时，由于合成股票占比提升，2022年的预测误差方差分解结果相较于2021年有所改善，且该市场达到稳定状态的时间较2021年缩短了3天。