The Measurement And Analysis Of Implicit Transaction Costs In China Securities Market

Securities market implicit transaction cost is an important element of the micro-marketstructure, playing an important role in market utility. This paper used Corwin(2012)’s model，which based on stock daily trading price, to measure implicit transaction cost, got the resultabout1922stocks in past20years. Firstly, the writer did a comparative analysis betweenShanghai and Shenzhen market implicit transaction cost. Then, analysed the stock implicittransaction cost among industries. Lastly, the writer reached implicit transaction cost based onthe price information theory and the theory of corporate governance.Drawing from the research, gets the conclusion that:(1) Shenzhen stock market implicittransaction cost were significantly higher than that of Shanghai, but there was no significantdifference between2006and2008;(2) various industries there was a significant difference inimplicit transaction costs;(3) the lower stock price informativeness had a positive effect onimplicit transaction cost, but the higher had a negative effect;(4) the controlling shareholderequity ratio and ownership concentration has a positive impact on implicit transaction cost, butshareholders lacked checks and balances among each other;(5) independent directors help toreduce the implicit transaction costs in the market, and the effect is significant if the independentdirector works in the company’s location;(6) the higher debt ratio would increase the implicittransaction costs, the effect was significant in long-term liabilities, financial leverage have anegative effect on the implicit transaction costs.