A Study Of Measure And Influencing Factors Of Implicit Trading Cost In Shenzhen Stock Markets

This paper adopts a new simple method called High to Low price spread estimator toestimate the bid-ask spread of Shenzhen AStock Market of China. After the comparison betweendomestic market and HK stock market and the comparison of spreads among industries. We havehad some conclusions: Firstly, the average spread of inner country per month is0.026; the trendof the spread of China’s Shenzhen Stock Exchange is from high to low, and then walking along asteady wave line. Secondly, the average spread of HK stock market per month is0.038, higherthan SZ A stock market. Thirdly, the implicit trading cost of the same company which listed bothon Astock and Hstock is different, and the former is higher. Finally, different industries havedifferent bid-ask spread, making different influence to the whole stock market, too.This paper have achieved some conclusions after making multiple regression to influencingfactors (corporate equity) that may relative to implicit trading cost, according to MarketMicrostructure Theory and other studies on this aspect. There are some main conclusions in thepaper: Firstly, insider and ownership concentration H10are significantly positive to bid-askspread. Secondly, institutional investors, turnover rate, stock price, trading volume aresignificantly negative to implicit cost. Thirdly, the proportion of circulating shares is negative tobid-ask spread but not significant.Therefore this paper offers some proposal. Improve the rate of circulating shares; optimizethe corporate equity, improve the securities market laws and regulations, reduce the insidercontrol and the informed trading probability, low the degree of information asymmetry, improvemarket transparency, reduce the implicit transaction cost.