The Performance Of China Stock Market,based On The Analysis Of Implicit Transaction Cost

This paper is based on the market microstructure theory,using Hasbrouck's sampling method,taking stocks listed on the Shanghai and shenzhen stock exchanges for full year in the early period of 1992 to the end of 2016 as samples,to gauge the implicit transaction cost in the order drive market based on the daily share price of the stock market.At the same time,based on the analysis of the implicit transaction cost to examine the performance of China's stock market and the factors that affect the performance of the market,using multivariate regression method to analyze impact of the price,volume,stock price variance and turnover rate to the performance of the market.It is compared with the regression results based on the market quality index,indicating that the implicit transaction costs are effective.And offer advice and policy measures finally.The results are as follows:(1)The implicit transaction costs of Shanghai and Shenzhen fluctuate in the sample range,the range is larger before 2001,but fluctuation be stabilised since 2001 gradually,maintained at a relatively fixed interval.(2)Compared with Shenzhen A-share exchange,the volatility of the implicit transaction costs in the Shanghai A-share market is even more severe.,but the change trend of the implicit transaction cost of the two markets match basically after 1995,and there is no significant difference.(3)Based on the implicit transaction cost and the market quality index,the factors that affect the performance of the Shanghai A-share market are analyzed respectively.The results are the same basically,and the implicit transaction costs can reflect the market quality more accurately.(4)The price,volume,and turnover rate are positively related to the performance of the Chinese stock market.The stock price variance and price-earnings ratio are negatively correlated with the performance of the Chinese stock market.So this article proposes to improve the stock market trading system,provide a complete trading mechanism,deepen market information construction,strengthen information disclosure systems,reduce insider manipulation,improve information asymmetry,optimize the equity system of listed companies,and increase the ratio of circulating shares.Reduce the implicit transaction costs and improve the performance of China's stock market ultimately.