政策性事件对深圳A股隐性交易成本的影响

发布时间：2018-10-05 11:59

【摘要】：本文基于Hasbrouck（2009）提出的贝叶斯Gibbs抽样估计方法，用深圳A股市场个股的日收盘价数据测算其隐性交易成本，并在此基础上选取有关交易制度的八个典型政策事件，用事件研究法考察证券交易制度对深圳A股市场隐性交易成本的影响。研究表明：（1）隐性交易成本具有季节效应，上半年的隐性交易成本高于下半年，且第二季度最高；（2）牛市阶段的隐性交易成本略高于熊市阶段；（3）T+1制度、ST制度降低了市场的流动性，，增加市场的交易成本；（4）涨跌幅限制可在短期内明显降低隐性交易成本，但涨跌幅限制在降低波动性的同时又会限制市场的流动性，增加交易成本；（5）PT制度可以增加市场即期的流动性，降低交易成本；（6）实行大宗交易制度、调整扩大买卖盘揭示范围、上市公司回购流通股操作细则颁布实施反而增加了市场的隐性交易成本；（7）实行集合竞价收盘制度有助于降低隐性交易成本，提高市场流动性。在实证研究的基础上，本文提出完善证券交易制度的相关政策建议。
[Abstract]:Based on the Bayesian Gibbs sampling estimation method proposed by Hasbrouck (2009), this paper uses the daily closing price data of individual stocks in Shenzhen A-share market to calculate its implicit transaction cost, and on this basis selects eight typical policy events related to the trading system. The influence of securities trading system on implicit transaction cost in Shenzhen A-share market is investigated by event-research method. The results show that: (1) the implicit transaction cost has seasonal effect, the implicit transaction cost in the first half of the year is higher than that in the second half year and the highest in the second quarter, (2) the implicit transaction cost in the bull market stage is slightly higher than that in the bear market stage; (3) the T1 / St system reduces the liquidity of the market and increases the transaction cost of the market. (4) the fluctuation limit can obviously reduce the implicit transaction cost in the short term, but the fluctuation limit will limit the liquidity of the market at the same time. Increase transaction costs; (5) PT system can increase market spot liquidity, reduce transaction costs; (6) implement a large trading system, adjust and expand the scope of order disclosure, On the contrary, the implementation of the operational rules of repurchase and circulation of listed companies increases the hidden transaction costs of the market; (7) the implementation of the collective bidding and closing system helps to reduce the hidden transaction costs and improve the liquidity of the market. On the basis of empirical research, this paper puts forward some policy suggestions to perfect the securities trading system.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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