The Impact Of Institutional Changes On The Operational Performance Of Shanghai A-share Market

The scale of our country's stock market has been constantly expanded since the establishment of it,however,the rapid expansion of the stock market cannot be equated with the simultaneous improvement of operational performance.In the era of capital globalization,the capital markets of various countries merge with each other and compete with each other,but only high operational performance stock market can enhance its own competitiveness,so the performance of the stock market in our country has been the focus of domestic scholars.However,the current measurement of the performance of the market is often based on liquidity,volatility or effectiveness and other indicators,and implicit transaction costs as a comprehensive reflection of the above indicators have not been widely applied to the study of market performance.On the other hand,the stock market in our country is a product of market economy during the process of reform and opening up,and its development inevitably depends on the deepening reform and institutional construction.So,domestic scholars conducted an in-depth examination of the effectiveness of these institutional developments.These studies are not comprehensive,because they only examine the impact on operational performance from one system.In this paper,we first calculate the implicit transaction costs of the Shanghai Ashare market from 1992 to 2016 based on the High and Low spread estimator model proposed by Corwin and Schultz(2012),and give a brief description of its statistical characteristics,which can be an initial intuitive understanding of the operational performance of the stock market.Then,based on the analysis of implicit transaction costs,we examine whether the changes in market performance have certain periodic characteristics.Finally,according to the principle of effect and interval,we screen out six representative institutional change events as the window of events and use the event study to examine the impact of these six institutional changes on the operational performance of the Shanghai A-share market.The main conclusions drawn in this paper are as follows:(1)The Shanghai Ashare market has a relatively higher operating performance;(2)The operating performance of the Shanghai A-share market has some periodic characteristics of change.The specific performance is as follows: The operational performance is highest on Monday,and on Wednesday or Thursday,it is lower than the average of the other four days during the week;The operational performance is lowest in August;as a whole,the operating performance during the bull market was significantly lower than the bear market;(3)The “ST” system significantly improved the market operation performance;(4)The implementation of the price change rate limit,expand stock market order display window,SFC released the repurchase outstanding shares of listed companies operating rules and the opening of Shanghai-Hong Kong Stock Connect can reduce the market operational performance;(5)The “T+1” system has no significant effect on the market operational performance.Finally,based on the results of empirical analysis,some countermeasures and suggestions are put forward from the investor and management perspectives.