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.
交易成本是投資者決定他們是否應(yīng)該進(jìn)行投資的一個(gè)重要因素。顯然，這個(gè)因素只是用來吸引投資者，但是，它也可以是一個(gè)措施，顯示市場內(nèi)部效率。有利可圖的交易成本總是可以吸引更多的投資者，可以提高市場效率內(nèi)部，畢竟，股市是用來吸引人們首先。一系列監(jiān)管變動的目的是吸引更多的投資者，如果它這樣做，應(yīng)該是一個(gè)積極的變化。
 http://ukthesis.org/dissertation_sample

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.
為了鼓勵(lì)投資者參與，自2008年以來，上交所開始降低交易成本。這項(xiàng)措施在2009年變得更詳細(xì)的。它有助于擴(kuò)大和完善市場很多，市場流動性也呈陽性。它確實(shí)吸引了更多的投資者，因此，毫無疑問，這一措施是積極的。它確實(shí)提高了市場的內(nèi)部效率，鼓勵(lì)更多的人參與股市。

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#分頁標(biāo)題#e#
事實(shí)上，交易成本分析（TCA）的研究已經(jīng)從上世紀(jì)70年代或80年代。證券市場存在的主要原因是基本的市場節(jié)省交易成本，節(jié)省了投資者投資企業(yè)的投資成本，節(jié)省了投資者之間的交易成本，人們不斷尋求替代的方法來降低交易成本。據(jù)埃爾金斯/ MCSHERRY的的（2004）在美國的統(tǒng)計(jì)數(shù)據(jù)（年?duì)I業(yè)額的90％），三氯乙酸每年可節(jié)約0.5％，所管理的資產(chǎn)。它表明，如果實(shí)施，中國基金公司（年?duì)I業(yè)額在200-300％）增加每年數(shù)十億數(shù)十億的收入。它可以找到最好的流動性，降低實(shí)施成本，并提高投資回報(bào)或收益的機(jī)會。 TCA允許資產(chǎn)管理公司清楚地了解交易組合的真實(shí)成本，投資者可以在那里找到更好的機(jī)會，提高投資效益。此外，在成熟市場和機(jī)構(gòu)投資者完成的交易量的70％，毫無疑問，TCA可以提高投資回報(bào)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.
越來越復(fù)雜的交易策略需要評估和跟蹤。 TCA是投資過程中的一個(gè)重要組成部分，進(jìn)行成本分析，最好的策略，可能會被破壞，如果沒有好處。目前，TCA已被廣泛用于評估交易策略，算法交易和其他交易有效的真誠和認(rèn)真的態(tài)度，或案情。提高市場質(zhì)量，降低成本和價(jià)格提高的影響，流動性，減少市場波動，提高定價(jià)效率。如果投資者認(rèn)為價(jià)格的交易成本的影響，將不會出現(xiàn)重大影響的價(jià)格瞬間大訂單的，訂單拆分成其選項(xiàng)。股票的市場波動往往是買散裝或出售，除去TCA帶來的單一行為在整體市場波動起到減少的作用。不透明和不完整的交易確認(rèn)書，使投資者支付執(zhí)行成本過高。因此，更大的透明度是至關(guān)重要的。越來越多的國家正在研究最優(yōu)的執(zhí)行規(guī)則和其他標(biāo)準(zhǔn)，完善資本市場體系，幫助投資者更好地了解他們的持續(xù)投資的事情。#p#分頁標(biāo)題#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.
隨著資本市場和信息技術(shù)的飛速發(fā)展，市場微觀結(jié)構(gòu)理論已經(jīng)成為一個(gè)重要的研究領(lǐng)域，這是交易成本的一個(gè)重要焦點(diǎn)。投資者的交易成本不僅體現(xiàn)了方便的交易或證券的市場流動性的措施，這也是形勢的一個(gè)重要指標(biāo)。如何有效地，準(zhǔn)確地估計(jì)交易成本，投資者的交易成本，控制和提高市場效率具有十分重要的意義。在同一時(shí)間，也相關(guān)的交易成本和資產(chǎn)定價(jià)的基礎(chǔ)。德姆塞茨（1968）定義交易成本投資者支付的交易成本立即執(zhí)行，做市商交易價(jià)格之間的差異衡量，交易成本的大小。買賣價(jià)差交易成本實(shí)際上是一個(gè)靜態(tài)的概念，可以觀察到的交易時(shí)間。另一種方法是估計(jì)瞬時(shí)交易的交易成本是一個(gè)動態(tài)的概念所造成的價(jià)格變動和價(jià)格變動。

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.
有效價(jià)差是交易價(jià)格和證券交易的買賣價(jià)格之間的差異的情況下的交易價(jià)格之間的中點(diǎn)。在許多市場，使得市場訂單，由于各種原因，交易價(jià)格比性價(jià)比還是不錯(cuò)的，這意味著有效價(jià)差通常小于報(bào)價(jià)價(jià)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#分頁標(biāo)題#e#
哈里斯（1990）證明，積極自動協(xié)方差買賣價(jià)差的可能性更大，因?yàn)閮r(jià)值相對較低。另一種是動態(tài)的交易成本估計(jì)股價(jià)當(dāng)日波動的敏感性。證券價(jià)格的變化一般可分為長期的效果和臨時(shí)效果。教學(xué)內(nèi)容的信息反映了長期影響，會導(dǎo)致證券價(jià)值的變化;臨時(shí)效果是由于臨時(shí)流動資金效應(yīng)，庫存控制行為，價(jià)格分散等，只能導(dǎo)致短期波動股票價(jià)格，而不是實(shí)質(zhì)的證券的價(jià)值。訂購，由于價(jià)格的變化可能是永久性的，或可能是暫時(shí)的，證券交易之間的關(guān)系的變化實(shí)際上反映了實(shí)施成本。 Glosten和Harris（1988），理查德森和Roomans馬dhavan，（1997年），黃和斯托爾（1994），林桑格和展位（1995）研究了一天的實(shí)證模型對價(jià)格的影響。中國股市交易成本，訂貨處理單元，也有其他交易費(fèi)用的成分，他們將改變在任何時(shí)間，要求增加。交易成本不僅是共同的變化趨勢，但也有特點(diǎn)的股票。