埃克斯特大学 (University of Exeter)：股票市场中交易成本和股票交易成本分析
Transaction cost and stock trading cost analysis
交易成本和股票交易成本分析
Transaction cost is an important factor for investors to decide if they should make an investment. Apparently, this factor is just used to attract investors; however, it also can be a measure to show the market internal efficiency. Profitable transaction cost always can attract more investors which can improve the market internal efficiency; after all, a stock market is used to attract people firstly. The series of changes in regulation is designed to attract more investors, if it did, that should be a positive change.
交易成本是投资者决定他们是否应该进行投资的一个重要因素。显然，这个因素只是用来吸引投资者，但是，它也可以是一个措施，显示市场内部效率。有利可图的交易成本总是可以吸引更多的投资者，可以提高市场效率内部，毕竟，股市是用来吸引人们首先。一系列监管变动的目的是吸引更多的投资者，如果它这样做，应该是一个积极的变化。
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In order to encourage investors to take part in, SSE began to decrease the transaction cost since 2008. This measure became more detailed in 2009. It helped to expand and improved the market a lot, it was also positive for the market liquidity. And it did attract more investors, so there is no doubt that this measure is positive. It did improve the market internal efficiency by encouraging more people to take part in the stock market.
为了鼓励投资者参与，自2008年以来，上交所开始降低交易成本。这项措施在2009年变得更详细的。它有助于扩大和完善市场很多，市场流动性也呈阳性。它确实吸引了更多的投资者，因此，毫无疑问，这一措施是积极的。它确实提高了市场的内部效率，鼓励更多的人参与股市。
Actually transaction cost analysis (TCA) has been researched from 70s or 80s of last century. Securities market and the main reason for the existence is one of the basic market transaction cost savings, saving investors to invest in enterprises with investment costs, saving the cost of transactions between investors, people are constantly seeking to reduce transaction costs of alternative methods. According to Elkins / McSherry (2004) statistics in the United States (annual turnover is 90%), TCA annual savings of 0.5% of assets under management. It showed that if the implementation of Chinese fund companies (annual turnover in the 200-300%) increase per year to tens of billions of billions of revenue. It can find the best liquidity, lower implementation costs, and improve investment returns or opportunities for gain. TCA allows asset managers to clearly understand the true costs of trading portfolio where investors can find better opportunities, and improve investment returns. In addition, in mature markets and 70% of trading volume by institutional investors to complete, no doubt, TCA can improve the return on investment.#p#分页标题#e#
事实上，交易成本分析（TCA）的研究已经从上世纪70年代或80年代。证券市场存在的主要原因是基本的市场节省交易成本，节省了投资者投资企业的投资成本，节省了投资者之间的交易成本，人们不断寻求替代的方法来降低交易成本。据埃尔金斯/ MCSHERRY的的（2004）在美国的统计数据（年营业额的90％），三氯乙酸每年可节约0.5％，所管理的资产。它表明，如果实施，中国基金公司（年营业额在200-300％）增加每年数十亿数十亿的收入。它可以找到最好的流动性，降低实施成本，并提高投资回报或收益的机会。 TCA允许资产管理公司清楚地了解交易组合的真实成本，投资者可以在那里找到更好的机会，提高投资效益。此外，在成熟市场和机构投资者完成的交易量的70％，毫无疑问，TCA可以提高投资回报率。
Increasingly complex trading strategies need assessment and tracking. TCA is an important part of the investment process, the best strategy for cost analysis, if no benefits may be destroyed. Currently, TCA has been widely used to assess trading strategies, algorithmic trading and other transactions effective sincere and earnest manner, or merits. Improve market quality, reduce costs and increase the price impact of liquidity, reduce market volatility and improve the pricing efficiency. If investors consider the price impact of trading costs, will not appear on the significant impact of price instantaneous large orders, split orders into its options. Stock market volatility is often bought by the bulk resulting in or sell, TCA removed single behavior brought play a reduced role in the overall market volatility. Opaque and incomplete confirmation of the transaction is to enable investors to pay excessive implementation costs. Therefore, greater transparency is essential. More and more countries are studying the optimal implementation of the rules and other standards to improve the capital market system, to help investors better understand their ongoing investment in things.
越来越复杂的交易策略需要评估和跟踪。 TCA是投资过程中的一个重要组成部分，进行成本分析，最好的策略，可能会被破坏，如果没有好处。目前，TCA已被广泛用于评估交易策略，算法交易和其他交易有效的真诚和认真的态度，或案情。提高市场质量，降低成本和价格提高的影响，流动性，减少市场波动，提高定价效率。如果投资者认为价格的交易成本的影响，将不会出现重大影响的价格瞬间大订单的，订单拆分成其选项。股票的市场波动往往是买散装或出售，除去TCA带来的单一行为在整体市场波动起到减少的作用。不透明和不完整的交易确认书，使投资者支付执行成本过高。因此，更大的透明度是至关重要的。越来越多的国家正在研究最优的执行规则和其他标准，完善资本市场体系，帮助投资者更好地了解他们的持续投资的事情。#p#分页标题#e#
With the capital markets and the rapid development of information technology, market microstructure theory has become an important research area, which is an important focus of transaction cost. Transaction cost for investors not only reflects the ease of the transaction or the securities market liquidity measure, it is also an important indicator of the situation. How to effectively and accurately estimate transaction costs, transaction costs for investors, control and improve market efficiency is of great significance. At the same time, also the transaction costs and asset pricing linked to the foundation. Demsetz（1968）defines transaction costs investors pay for the immediate implementation of the transaction costs, the difference between market makers trading prices measure the size of transaction costs. Bid-ask spread is actually a static concept of transaction costs, can be observed at the time of transaction. Another method is to estimate the instantaneous price changes caused by transactions which is a dynamic concept of transaction costs, and price change.
随着资本市场和信息技术的飞速发展，市场微观结构理论已经成为一个重要的研究领域，这是交易成本的一个重要焦点。投资者的交易成本不仅体现了方便的交易或证券的市场流动性的措施，这也是形势的一个重要指标。如何有效地，准确地估计交易成本，投资者的交易成本，控制和提高市场效率具有十分重要的意义。在同一时间，也相关的交易成本和资产定价的基础。德姆塞茨（1968）定义交易成本投资者支付的交易成本立即执行，做市商交易价格之间的差异衡量，交易成本的大小。买卖价差交易成本实际上是一个静态的概念，可以观察到的交易时间。另一种方法是估计瞬时交易的交易成本是一个动态的概念所造成的价格变动和价格变动。
Effective spread is the transaction price and the midpoint of the difference between trading prices for securities trading in the situation between the trading prices. In many markets, making market orders due to various reasons the transaction price than the price is good, which means that effective spreads are usually smaller than the quoted spreads.
有效价差是交易价格和证券交易的买卖价格之间的差异的情况下的交易价格之间的中点。在许多市场，使得市场订单，由于各种原因，交易价格比性价比还是不错的，这意味着有效价差通常小于报价价差。
Harris (1990) proved that positive auto covariance bid-ask spread is more likely because of relatively low value. Another dynamic transaction cost estimate is the sensitivity of stock price trading. Changes in securities prices generally can be divided into long-term effects and temporary effects. Reflects the long-term effects of the information content of instruction, will cause changes in the value of securities; and temporary effects are due to temporary liquidity effects, inventory control behavior, price dispersion, etc., can only lead to short-term fluctuations of stock prices, not on the value of securities in real terms. Order due to price changes may be permanent or may be temporary, changes in relationships between securities transactions actually reflects the cost of implementation. Glosten and Harris (1988), Ma dhavan, Richardson and Roomans (1997), Huang and Stoll (1994), Lin Sanger and Booth (1995) had studied the impact of price on the day of the empirical model. Chinese stock market transaction costs by ordering the processing elements, there are other transaction costs of ingredients, and they will change at any time ask to increase. Transaction costs not only the common trend of change, but also with the characteristics of the stock.#p#分页标题#e#
哈里斯（1990）证明，积极自动协方差买卖价差的可能性更大，因为价值相对较低。另一种是动态的交易成本估计股价当日波动的敏感性。证券价格的变化一般可分为长期的效果和临时效果。教学内容的信息反映了长期影响，会导致证券价值的变化;临时效果是由于临时流动资金效应，库存控制行为，价格分散等，只能导致短期波动股票价格，而不是实质的证券的价值。订购，由于价格的变化可能是永久性的，或可能是暂时的，证券交易之间的关系的变化实际上反映了实施成本。 Glosten和Harris（1988），理查德森和Roomans马dhavan，（1997年），黄和斯托尔（1994），林桑格和展位（1995）研究了一天的实证模型对价格的影响。中国股市交易成本，订货处理单元，也有其他交易费用的成分，他们将改变在任何时间，要求增加。交易成本不仅是共同的变化趋势，但也有特点的股票。
