基于中国股市微观结构的流动性与执行成本分析

The Analysis of the Liquidity and Executive Cost of China's Stock Market Base on the Market Microcosmic Structure

运用市场微观结构理论来分析中国股市的交易制度、流动性和执行成本后发现:(1)在佣金和交易税相等的条件下,B股的知情交易者执行成本普遍大于A股,导致B股的流动性小于A股,买卖价差显著大于A股,表明投资者对B股交易要求较高的风险报酬;(2)一旦控制住执行成本中普通交易者对知情交易者所要求的风险补偿,A、B股买卖价差的区别就消失了。因此,证券管理部门应在B股市场引入做市商制度并在微观结构理论的指导下,加强交易监管系统,从而提高B股的流动性并降低其执行成本。

After used the theory of market microcosmic structure to Analyses the trading system the liquidity and the executive cost of China's stock market we found that 1 In the condition that commission was equal to trading tax the executive cost of the traders in the know of stock B was bigger than stock A and led to the liquidity of stock B was small than stock A the price dispersion of buying and selling was bigger than stock A notably and these showed that investors asked for higher risk reward from the trading of stock B.2 As we controlled the risk compensation which ordinary traders ask for from the traders in the know in the executive cost the differences of the price dispersion of buying and selling between stock A and stock B were disappeared. So the stock control department should absorb the market maker system in stock B market and under the lead of microcosmic structure theory to strengthen the trading control system raise the liquidity of stock B and rundown the executive cost of stock B.