Article ID Journal Published Year Pages File Type
5083735 International Review of Economics & Finance 2013 17 Pages PDF
Abstract
This paper investigates the transaction costs of the domestic and foreign shares in the Chinese market after the 2001 reform. We find that the higher transaction costs of foreign shares (vs. domestic shares) on the Shanghai Stock Exchange are attributable to their less active trading activities, higher volatility of trade-by-trade price returns, higher probability of information-based trading, and bigger relative tick for quoted prices. In contrast, the lower transaction costs of foreign shares (vs. domestic shares) on the Shenzhen Stock Exchange are mainly due to their lower degree of discreteness for quoted prices.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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