交易活跃性与交易成本动态关系研究

交易成本和市场活跃性是流动性相互联系的两个重要方面,已往研究多基于横截面分析研究两者的静态关系,而未考虑两者的动态相互作用。用久期,交易量来度量市场活跃程度,买卖价差度量交易成本,提出了基于超高频数据研究交易活跃程度和交易成本动态关系的系统模型。利用中国股市的样本数据对模型进行了实证研究,并从信息揭示的角度对实证结果给出了理论解释。结果表明交易活跃性和交易成本之间存在着动态相互影响,监管部门应该采取措施降低交易成本,增加市场的活跃性,防止出现市场低迷和流动性缺乏的恶性循环。

A Research on the Dynamic Relationship between Transaction Activity and Transaction Costs

There are already many theoretical and empirical researches on the relationship between the transaction costs and transaction activity,which are two important aspects of liquidity.However,most of these researches are based on the cross-section analysis,the research on dynamic relationship between the transaction cost and transaction activity is still a blank domain.Based on ultra high frequency data,a dynamic systematic model of duration,volume and spread are presented to study the dynamic relationship between transaction costs and transaction activity.This model was applied to Chinese stock market and the results are interpreted based on the information discovery.The empirical results suggest that there are positive feedback effects between transaction costs and transaction activity.The government must prevent the malignant cycle of losing liquidity and activity by reduce the transaction costs and enhance the transaction activity.