中国股市完全信息交易成本的实证分析

详细信息

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

摘要: 运用高频数据对中国股票市场的完全信息交易成本进行实证分析。研究结果表明,与有效价差相比,完全信息交易成本考虑了私人信息和市场参与者的学习过程,准确估计了实际的交易成本,是市场效率的理想测量方式。
- 非对称信息 /
- 完全信息交易成本 /
- 市场效率
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.
- asymmetric information /
- full-information transaction cost /
- market efficiency

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