Abstract
This paper is based on the stocks listed on the Shanghai and Shenzhen stock exchanges for full year in the early period of 1992 to the end of 2016, using Hasbrouck sampling method to estimate the implicit transaction cost of Chinese order-driven market, and observing the performance of stock market and affecting factors based on the implicit transaction costs. Empirical results show: the implicit transaction cost is an unavoidable cost for investors, and the performance of China stock market is not ideal. Finally, it is suggested that China stock market should improve the trading system, strengthen the information disclosure system and optimize the equity system of listed companies.
Highlights
Financial market micro-structure theory originated from the late 1960s
This paper takes the transaction data of Shanghai and Shenzhen stocks from early 1992 to the end of 2016 as a sample to measure the volatility of the implicit trading cost in the past 30 years
At the same time, based on implicit transaction cost, combined with the company ownership structure, shareholding ratio and individual stock trading data, it analyzes the influential factors of the market performance
Summary
Financial market micro-structure theory originated from the late 1960s. It is a key emerging branch of modern finance, and is one of the most popular financial problems in the past half century. This paper examines the performance of China stock market from a new perspective, uses a comprehensive indicator to evaluate all aspects of the market scientifically, and enriches the method of analyzing market micro-features It analyzes the implicit transaction cost and influencing factors of the China stock market, provides theoretical support for the government to improve the market system and regulate the behavior of market players, which is conducive to the healthy, standardized, efficient development of China stock market. This article includes the following parts: the first part is the introduction; the second part is literature review; the third part estimates the implicit transaction cost of Shanghai and Shenzhen a-share market by Gibbs sampling method; the fourth part investigates the main influencing factors of China stock market performance based on the measure of implicit transaction cost; the fifth part summarizes the research results and puts forward policy suggestions
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