JOURNAL OF BEIJING UNIVERSITY OF AERONAUTICS AND A ›› 2008, Vol. 21 ›› Issue (2): 1-4.

• 论文 •     Next Articles

The Full-information Transaction Costs in China's Stock Market

YAO Ning   

  1. School of Management,Tianjin University, Tianjin 300072, China
  • Received:2007-01-29 Online:2008-06-25 Published:2010-05-13

Abstract:

Based on the high frequency data, we made an empirical study on the full-inform ation transaction costs in China's stock market. Compared with effective spread, the results show that full-information transaction costs include private infor mation and learning on the part of market participants. As an ideal measurement of market efficiency, transaction costs can be accurately estimated through full -information transaction costs.

Key words: asymmetric information, full-information transaction cost, market efficiency

CLC Number: