A Study On Operational Performance In China's Stock Market

With the theory of market microstructure analytical framework,this dissertation make use of the theoretical models,comparative study and empirical testing to study on operational performance in China's stock market constituted by Shenzhen and Shanghai stock markets.The main conclusions are listed as follows:(1) In terms of development history,the liquidity of Shenzhen and Shanghai stock market shows the trend of gradual improvement,but still lower than the mature national market system;The liquidity of the stock market in Shanghai is better than the Shenzhen stock market measuring by the liquidity index,the market depth and transaction costs of block trades,and the Shenzhen is better than the Shanghai measuring by the price impact index and the relative bid-ask spread.(2) The volatility of Shenzhen and Shanghai stock market is not in the trend of decline.Chinas stock market is still relatively large fluctuations,showing a strong "policy market".(3) The market sentiment is not only leads sentiment premium,but leads earnings volatility in Shenzhen and Shanghai stock market.With emotional short-term sustainability and long-term reversal corresponding,there exist a short-term momentum and a long-term reversal in China's stock market Market sentiment is one of major reasons for China's stock market irrational exuberance and down.(4) Base on the China's limit order-driven electronic trading system,such factors as the stock price,the depth of market,the probability of informed trading, the fluctuation of stock price,the impact of information and the imbalance of orders will all affect the implicit transaction cost.The greater market depth, lower probability of informed trading,smaller price volatility,smaller impact of information on stocks and lower degree of imbalance on order will lead to decrease implicit transaction costs.(5) Implicit transaction costs is a composite indicator to measure the efficiency of stock.Markect.Empirical analysis shows that the poor liquidity,lower effectiveness of information and high volatility will lead to higher implicit transaction costs.Efficient operation of stock markets is bound to lower implicit transaction costs.