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。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.
-
-
[1] Fama E. Efficient Capital Markets: Ⅱ[J]. Journal of Finance, 1 991,25:1575-1617. [2] Demsetz H. The Cost of Transaction[J]. Quarterly Journal of Economi cs, 1968, 82(1): 33-53. [3] Perold A. The Implementation Shortfall[J]. Journal of Portfolio Man agement, 1988, 14(3): 4-9. [4] Kyle A. Continuous Auctions and Insider Trading[J]. Econometrica, 1 985, 53: 1315-1335. [5] O'Hara M. Market Microstructure Theory[M]. Oxford: Blackwell Publis hers Ltd, 1995. 35-47. [6] Hasbrouck J. Assessing the Quality of a Security Market: A New Approa ch to Transaction Cost Measurement[J]. Review of Financial Studies,1993, 6(1): 191-212. [7] Bandi Russell. Full-information Transaction Costs . Working pape r, 2004. [8] Andersen T G, Bollerslev T, Diebold F X, et al. Modeling and Forecas ting Realized Volatility[J]. Econometrica, 2003,71: 579-625. [9] Barndorff-Nielsen O E, Shephard N. Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models[J]. Journal of the Royal Statistical Society, Series B, 2002, 64: 253-280. [10] Bollerslev T, Andersen T G, Diebold F X, et al. The Distribu tion of Realized Stock Return Volatility[J]. Journal of Financial Economics, 2001,61: 43-76.
计量
- 文章访问数:
- HTML全文浏览量: 0
- PDF下载量: