| 中国股市隐性交易成本影响因素分析 |
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| 引用本文： | 王聪,唐静武. 中国股市隐性交易成本影响因素分析[J]. 当代财经, 2009, 0(4) |
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| 作者姓名： | 王聪 唐静武 |
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| 作者单位： | 暨南大学,经济学院金融系,广东,广州,510632 |
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| 基金项目： | 教育部全国优秀博士论文专项基金，广东省哲学社会科学基金 |
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| 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.
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| 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 |
An Analysis of Factors Affecting the Implicit Transaction Cost in China's Stock Market |
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| WANG Cong,TANG Jing-wu. An Analysis of Factors Affecting the Implicit Transaction Cost in China's Stock Market[J]. Contemporary Finance & Economics, 2009, 0(4) |
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| Authors: | WANG Cong TANG Jing-wu |
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| Affiliation: | Jinan University;Guangzhou 510632;China |
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| Abstract: | 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 co... |
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| Keywords: | implicit trade costs bid-ask spread probability of informed trading efficiency of market operation |
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