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在电子指令驱动的交易制度下,中国股票价格、市场深度、知情交易概率、信息冲击、股价波动和买卖指令的不平衡性,都是影响隐性交易成本的因素;中国股市流动性、波动性和有效性,都对隐性交易成本产生影响,即流动性差、有效性低、波动性高会导致隐性交易成本增大。这一结论从实证上得到了验证。因此,隐性交易成本是衡量股票市场运行效率的一个综合性指标。
Under the electronic order-driven trading system, the factors affecting the implicit transaction cost are the stock price, market depth, probability of informed trading, information shock, stock price volatility and trading order imbalance; the liquidity and volatility of Chinese stock market And validity, all have an impact on the hidden transaction costs, that is, poor liquidity, low effectiveness and high volatility will lead to an increase in hidden transaction costs. This conclusion has been verified empirically. Therefore, the implicit transaction cost is a comprehensive measure of the efficiency of the stock market.