The Effect Of The Political Events On The Implicit Transaction Costs Of Shenzhen A-Stock Market

By means of daily closing data, we firstly measure the implicit transaction cost ofShenzhen A-stock market using the techniques of Bayesian Gibbs sampling model raised byHasbrouck (2009). Then we analyze the influence of political events about the tradingmechanism on market liquidity which is represented by the implicit cost. The conclusion showsthat the implicit transaction cost of Shenzhen A stock market fluctuates in an interval form1992to2100. It presents itself stabley after2001. The implicit cost has a seasonal effect. It is higherin the first half of year, and the highest in the second seanson. We also find that it is a bit higherin the phrase of bull market. Based on the event study, we find that T+1mechanism limits themarket liquidity and raisies the implicit cost. Price limits can lower the cost in the short run, butin the meanwhile it limits the market liquidity, and the cost will increase in the long run. Thespecial treating mechanism limits the trading of rag stocks, but it can act as a filter for investorsto choose stocks. Thus, the special treating mechanism raises the implicit cost in the short termand lowers the cost in the long term. PT mechanism provides a way for the suspended stocks tobe traded, so it can raise the spot liquidity. The block trading system, expanding the revealedbid-ask range and listing companies repurchasing the outstanding stocks increase the implicitcost. Determining the closing price by call auction can lower the implicit cost.