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基于中国股市微观结构的流动性与执行成本分析 被引量:13

The Analysis of the Liquidity and Executive Cost of China's Stock Market Base on the Market Microcosmic Structure
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摘要 运用市场微观结构理论来分析中国股市的交易制度、流动性和执行成本后发现:(1)在佣金和交易税相等的条件下,B股的知情交易者执行成本普遍大于A股,导致B股的流动性小于A股,买卖价差显著大于A股,表明投资者对B股交易要求较高的风险报酬;(2)一旦控制住执行成本中普通交易者对知情交易者所要求的风险补偿,A、B股买卖价差的区别就消失了。因此,证券管理部门应在B股市场引入做市商制度并在微观结构理论的指导下,加强交易监管系统,从而提高B股的流动性并降低其执行成本。 After used the theory of market microcosmic structure to Analyses the trading system the liquidity and the executive cost of China's stock market we found that 1 In the condition that commission was equal to trading tax the executive cost of the traders in the know of stock B was bigger than stock A and led to the liquidity of stock B was small than stock A the price dispersion of buying and selling was bigger than stock A notably and these showed that investors asked for higher risk reward from the trading of stock B.2 As we controlled the risk compensation which ordinary traders ask for from the traders in the know in the executive cost the differences of the price dispersion of buying and selling between stock A and stock B were disappeared. So the stock control department should absorb the market maker system in stock B market and under the lead of microcosmic structure theory to strengthen the trading control system raise the liquidity of stock B and rundown the executive cost of stock B.
作者 苏冬蔚
出处 《当代财经》 CSSCI 北大核心 2004年第2期44-48,共5页 Contemporary Finance and Economics
基金 国家自然科学基金(70303012) 教育部人文社科基金(02JA790029)
关键词 市场微观结构理论 流动性 执行成本 买卖价差 中国 股票市场 Market microcosmic structure liquidity the executive cost the price dispersion of buying and selling China's stock market
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参考文献13

  • 1Stoll, H.. The supply of dealer services in securities markets [J] . Journal of Finance, 1978, (33): 1133-1151.
  • 2O'Hara, M.. Market Microstructure Theory [M] . Blackwell Publishers, Massachusetts, 1995.
  • 3孙培源,施东晖.微观结构、流动性与买卖价差:一个基于上海股市的经验研究[J].世界经济,2002,25(4):69-72. 被引量:78
  • 4George, T., Kaul, G. and Nimalendran, M.. Estimation of the bid-ask spread and its components: a new approach [J] .Review of Financial Studies, 1991, (4): 623-656.
  • 5Huang, R., and Stoll, H.. The components of the bid-ask spread: A general approach [J] . Review of Financial Studies, 1997,(10): 995-1034.
  • 6Newey, W. and West, K.. A simple, positive semidefinite, heteroskedasticity and autocorrelation consistent covariance matrix [J] . Econometrica, 1987, (55): 703-708.
  • 7冯用富.交易商制度与中国二板市场[J].经济研究,2001,36(7):74-82. 被引量:11
  • 8.为了加强有关风险控制,证交所规定了股票涨跌幅限制制度,超过10%上下限的委托单将不被电脑主机接受(对ST打头的特别处理股票限制涨跌幅为5%).另外,证交所还规定了有效竞价范围及单笔申报单的最大数量限制等[Z].,..
  • 9.委托费一般按笔计算.除了委托费外,投资者还要交纳成交金额0.4%的印花税和0.35%的券商佣金[Z].,..
  • 10.交易时市场的买卖价差和已报牌的买卖价差(Quotedspread)不同.前者是某一交易发生时市场固有的实际买卖价差,是无法观测到的,而后者是Sr=2(Ait-Bit)/(Ait+/Bit),其中Ait和Bit分别是股票i在时间t的卖出报价和买入报价[Z].,..

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