| 中国股票市场交易成本的估计 |
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| 引用本文： | 霍红.中国股票市场交易成本的估计[J].北方经贸,2009(11):96-98. |
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| 作者姓名： | 霍红 |
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| 作者单位： | [1]东北财经大学数学与数量绎济学院,辽宁大连116025 [2]东北财经大学经济计量分析与预测研究中心,辽宁大连116025 |
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| 摘 要： | 采用上证180指数成分股票的分笔交易数据，分析估计了反映中国股票市场交易成本的报价价差、有效价差和交易价差，并对它们进行了比较和相关分析。实证结果表明，我国股票市场的总交易成本约为0.25%，除指令处理成分外，还有其他的交易成本成分，而且它们会随时间的变化而增加。交易成本不仅表现出共同变动的趋势，而且还与股票的特征有关。
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| 关 键 词： | 交易成本 买卖价差 相关分析 |
Estimation of Trading Cost in China's Stock Market |
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| Huo hong.Estimation of Trading Cost in China''s Stock Market[J].Northern Economy and Trade,2009(11):96-98. |
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| Authors: | Huo hong |
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| Institution: | Huo hong (roManS and Quantity Economics school Northeastern Finance and Economicl University; b.Economics Quantitative Analysis and Predidive study center DaLian Liaoning 116025) |
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| Abstract: | The paper estimates the quoted,efficient spread and trading spread which can be used to measure the trading costs in China stock market by the frequently each trading data for component stocks of ShangZheng 180 index.The results from the comparing and correlate analysis show that the total trading cost in China stock market is about 0.25%.There are some other trading cost components except for the order processing cost,and they are increasing over time.The trading costs have not only the common factors, but also relations with the characteristics of stocks. |
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| Keywords: | trading cost spread correlation |
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