中国证券市场隐性交易成本的估算与分析.pdfVIP

摘 要 证券市场隐性交易成本是微观市场结构的一项重要内容，对市场效用的发挥有重要作 用。本文采用Corwin （2012 ）提出的模型，用股票日交易价格数据来估算证券隐性交易成 本，得到 1992 年至2012 年间1922 只股票的隐性交易成本数据，并据此开展研究，首先 对沪深两市隐性交易成本进行对比分析，其次对行业间的隐性交易成本进行横向分析，最 后用面板回归分析股价信息含量、公司治理结构对隐性交易成本的作用。 研究结果如下：（1）深市隐性交易成本大于沪市，但在2006 年至2008 年间无显著差 异；（2 ）行业间隐性交易成本存在显著差异，且随市场变化而变化；（3 ）在股价信息含量 较小时，提高股价信息含量对隐性交易成本有正的作用，在股价信息含量较大时却有负的 作用；（4 ）控股股东持股比例、股权集中度对隐性交易成本有正的影响，关联交易增加隐 性交易成本，公司治理环境中非第一大股东的股权制衡作用缺失；（5 ）当独立董事和公司 工作地点一致时显著的降低隐性交易成本；（6 ）公司负债比率高会显著增加隐性交易成本， 长期负债作用更大，财务杠杆对隐性交易成本有负的作用。 关键词：隐性交易成本、股价信息含量、公司治理结构、信息非对称 I Abstract Securities market implicit transaction cost is an important element of the micro-market structure, 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 result about 1922 stocks in past 20 years. Firstly, the writer did a comparative analysis between Shanghai and Shenzhen market implicit transaction cost. Then, analysed the stock implicit transaction cost among industries. Lastly, the writer reached implicit transaction cost based on the price information theory and the theory of corporate governance. Drawing from the research, gets the conclusion that: (1) Shenzhen stock market implicit transaction cost were significantly higher than that of Shanghai, but there was no significant difference between 2006 and 2008; (2) various industries there was a significant difference in implicit transaction costs; (3) the lower stock price informativeness had a positive effect on implicit transaction cost, but the higher had a negative effect; (4) the controlling sharehol