中国股市隐性交易成本影响因素分析  

An Analysis of Factors Affecting the Implicit Transaction Cost in China’s Stock Market

作　　者：王聪[1] 唐静武[1] 

机构地区：[1]暨南大学经济学院金融系,广东广州510632

出　　处：《当代财经》2009年第4期45-50,共6页Contemporary Finance and Economics

基　　金：教育部全国优秀博士论文专项资金项目(200403);广东省哲学社会科学基金项目(07E21)

摘　　要：在电子指令驱动的交易制度下,中国股票价格、市场深度、知情交易概率、信息冲击、股价波动和买卖指令的不平衡性,都是影响隐性交易成本的因素;中国股市流动性、波动性和有效性,都对隐性交易成本产生影响,即流动性差、有效性低、波动性高会导致隐性交易成本增大。这一结论从实证上得到了验证。因此,隐性交易成本是衡量股票市场运行效率的一个综合性指标。Under the electronic instruction-driven trading system, such factors as the prices of Chinese stocks,the depth of the market, the probability of informed trading, the information impact, the fluctuation of stock prices and the unbalanced trade orders will all affect the implicit traded cost. And the liquidity, fluctuation and validity of China＇s stock market will also influence the implicit trade costs, i.e. the poor liquidity, lower validity and higher fluctuation will lead to increased implicit trade costs. This conclusion has been validated by the empirical analysis. Therefore, the implicit trading cost is an integrated indicator to measure the efficiency of the stock market operation.

关 键 词：隐性交易成本 买卖价差 知情交易概率 市场运行效率 

分 类 号：F830.91[经济管理—金融学]