我国股票市场交易成本影响因素研究

The Determining Factors of the Transaction Cost in Chinese Stock Market: An Empirical Analysis

本文以深交所所有股票2006年的交易数据为研究样本,实证检验我国股票市场影响股票交易成本的主要因素。研究表明,我国股票市场的交易成本高于全球平均水平,同时,持股集中度越低、机构持股比例越低、规模越大和系统性风险越高的股票的交易成本越低,说明目前我国股票市场的交易成本主要受到二级市场流通股筹码状况和股票自身规模及风险因素影响,投资者交易决策存在非理性成份,这与我国新兴市场特性有关。其他因素,包括大股东持股比例、市盈率、收益率、盈利能力、现金充裕程度、成长性、是否为成份指数股和行业因素,没有明显影响股票交易成本。

Using the intraday data of Shenzhen Stock Exchange in 2006, this paper empirically tests the determining factors of the trading costs in Chinese stock market. The results indicate that the transaction cost is higher than the global average. Stocks with lower ownership concentration, lower institution holding rate, larger scale and higher systematic risks tend to have lower transaction costs, which indicate that the transaction costs in Chinese stock market are mainly determined by the tradable shares features, the scales of individual stock, as well as the risk factors. The trading decisions may contain irrational components, which reflect the emerging market characteristics of Chinese stock market. Other factors, such as the holding rate of majority shareholders, the P/E ratio, the profitability, the abundance of cash equity, the growth potential, the status of enlisting in the indices, and industry factors, do not show significant impacts on the transaction costs.