TITLE:
The Performance of China Stock Market, Based on the Analysis of Implicit Transaction Cost
AUTHORS:
Qing Zhang
KEYWORDS:
Market Performance, Implicit Transaction Cost, Gibbs Sampling Model, Influencing Factor
JOURNAL NAME:
American Journal of Industrial and Business Management,
Vol.8 No.4,
April
30,
2018
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.