财贸研究
財貿研究
재무연구
Finance and Trade Research
2007年
4期
77~84
,共null页
隐性交易成本 资产定价 市场微观结构
隱性交易成本 資產定價 市場微觀結構
은성교역성본 자산정개 시장미관결구
implicit transaction cost; asset pricing; market microstructure
文章利用上证180指数成份股票的高频数据计算隐性交易成本,探讨其与资产定价的关系。发现：（1）隐性交易成本与换手率、规模和收益率都存在着明显的线性负相关关系。在股票收益率下降时期,隐性交易成本通过流动性深度成本间接影响股票收益率。（2）较之隐性交易成本,规模因素与换手率因素对收益率的影响有着更好的测度性。很可能是因为这两个因素与流动性深度成本也有着显著相关性。（3）隐性交易成本与规模因素整体上呈线性负相关关系,分段上的关系则很可能是凹函数与凸函数的组合。
文章利用上證180指數成份股票的高頻數據計算隱性交易成本,探討其與資產定價的關繫。髮現：（1）隱性交易成本與換手率、規模和收益率都存在著明顯的線性負相關關繫。在股票收益率下降時期,隱性交易成本通過流動性深度成本間接影響股票收益率。（2）較之隱性交易成本,規模因素與換手率因素對收益率的影響有著更好的測度性。很可能是因為這兩箇因素與流動性深度成本也有著顯著相關性。（3）隱性交易成本與規模因素整體上呈線性負相關關繫,分段上的關繫則很可能是凹函數與凸函數的組閤。
문장이용상증180지수성빈고표적고빈수거계산은성교역성본,탐토기여자산정개적관계。발현：（1）은성교역성본여환수솔、규모화수익솔도존재착명현적선성부상관관계。재고표수익솔하강시기,은성교역성본통과류동성심도성본간접영향고표수익솔。（2）교지은성교역성본,규모인소여환수솔인소대수익솔적영향유착경호적측도성。흔가능시인위저량개인소여류동성심도성본야유착현저상관성。（3）은성교역성본여규모인소정체상정선성부상관관계,분단상적관계칙흔가능시요함수여철함수적조합。
Based on high -frequency transaction data from stocks of Shanghai Stock Exchange 180 Index, this paper calculates the stocks＇ implicit transaction cost and discusses the relationship between asset pricing and implicit transaction cost. Several conclusions are drawn as follows： （ 1 ） There are apparent linear negative relationship among implicit transaction cost, size of equity and returns, and implicit transaction cost influences stock returns from cost of liquidity depth during the decreasing period of returns. （2） The size of equity and turnover rate have more effect on asset returns than implicit transaction cost, it is probably because both of the two variables have prominent relationship with cost of liquidity depth. （3） The negative relationship between implicit transaction cost and size of equity is linear, while the segmental negative relationship is concave or convex.
