ASSESSING THE QUALITY OF A SECURITY MARKET - A NEW APPROACH TO TRANSACTION-COST MEASUREMENT
ASSESSING THE QUALITY OF A SECURITY MARKET - A NEW APPROACH TO TRANSACTION-COST MEASUREMENT
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DOI：
10.1093/rfs/6.1.191
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发表时间：
1993-01-01
影响因子：
8.2
通讯作者：
HASBROUCK, J
中科院分区：
文献类型：
--
作者：
HASBROUCK, J
本文讨论了一种新的方法来衡量实际交易价格和隐含有效价格之间的偏差。该方法将证券交易价格分解为随机游走分量和平稳分量。随机游走分量可以用有效价格来标识。固定部分，即有效价格和实际交易价格之间的差额，称为定价误差。它的分散程度是衡量市场质量的自然指标。我描述了估算这些数量的实用策略。以纽约证交所的股票为样本，平均定价误差标准差估计约为股价的0.33%。如果定价误差是正态分布的，并且总是交易发起人产生的正成本，那么这些交易者的平均转换成本是股票价格的0.26%。研究还发现，在交易时段的开始和结束时，定价误差的分散度也较高。
I discuss a new method for measuring the deviations between actual transaction prices and implicit efficient prices. The approach decomposes security transaction prices into random-walk and stationary components. The random-walk component may be identified with the efficient price. The stationary component, the difference between the efficient price and the actual transaction price, is termed the pricing error. Its dispersion is a natural measure of market quality. I describe practical strategies for estimating these quantities. For a sample of NYSE stocks, the average pricing error standard deviation estimate is roughly 0.33 percent of the stock price. If the pricing error is normally distributed and if it is always a positive cost incurred by the transaction initiators, the corresponding average transition cost for these traders is 0.26 percent of the stock price. The dispersion of the pricing error is also found to be elevated at the beginning and end of the trading session.