ISSN 1008-2204
CN 11-3979/C
姚 宁. 中国股市完全信息交易成本的实证分析[J]. 北京航空航天大学学报社会科学版, 2008, 21(2): 1-4.
引用本文: 姚 宁. 中国股市完全信息交易成本的实证分析[J]. 北京航空航天大学学报社会科学版, 2008, 21(2): 1-4.
YAO Ning. The Full-information Transaction Costs in China's Stock Market[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2008, 21(2): 1-4.
Citation: YAO Ning. The Full-information Transaction Costs in China's Stock Market[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2008, 21(2): 1-4.

中国股市完全信息交易成本的实证分析

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.

     

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