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本文通过研究中国股市的交易制度、流动性和执行成本,深入分析A、B股价差形成的原因,发现:(1)A、B股之间存在显著的信息不对称,B股投资者具有较大的信息搜寻成本,导致其知情交易者执行成本高于而流动性低于A股;(2)投资者对B股交易要求较高的风险报酬,因此B股的买卖价差大于A股;(3)在B股对境内投资者开放前后,A、B股买卖价差的特征没有显著的不同;(4)倘若控制住执行成本中普通交易者对知情交易者所要求的风险补偿,A、B股买卖价差的区别就消失了。因此,本文认为:证券市场投资主体的结构变化不是影响流动性和买卖价差的主要因素,在目前形势下,政府应在B股市场引入做市商制度并加强交易监管,才能提高B股的流动性并降低其执行成本。
By studying the trading system, liquidity and execution cost of China’s stock market, this paper deeply analyzes the reasons for the formation of the spread between A and B shares, and finds out: (1) there is significant information asymmetry between A and B shares; B stock investors have more Large information search costs, resulting in the execution cost of its informed traders is higher than the liquidity of A shares; (2) the investors require higher risk compensation for the trading of B shares, so the selling and selling spread of B shares is greater than that of A shares; 3) There is no significant difference in the bid-ask spread between A and B shares before and after the B-shares are opened to domestic investors; (4) If the average trader controls the risk compensation required by the informed trader in the execution cost, A, B The difference between the bid-ask spread disappears. Therefore, this paper argues that the structural change of the investors in the securities market is not the main factor that affects the liquidity and the bid-ask spread. Under the current situation, the government should introduce the market-maker system and strengthen the transaction supervision in the B-share market, And reduce its implementation costs.