Impact cost refers to the cost of buying or selling securities quickly and on a large scale in arbitrage trading, and failing to close the transaction at the predetermined price [1]. Impact cost is considered as the fatal wound of large institutions. For example, when a large institution is optimistic about a group of stocks, it must take a long time to achieve its goal of opening positions. If it is eager to open a position, the cost of opening a position will be much higher than expected, because a large number of purchases in a short period of time will drive up the stock price. Similarly, if you are in a hurry to sell shares, it means that you are suppressing the stock price, and the final selling price is lower than the original expected price. For retail investors, the impact cost is almost zero because of the small transaction volume.

The report shows that in 2007, the liquidity of the Shanghai market further increased, and the indirect transaction cost (price shock cost) dropped significantly. Taking the price impact cost of trading 654.38+10,000 yuan stocks as an example,/kloc-0 was as high as 199 basis points in 1995, decreased to 3 1 basis point in 2006 and further decreased to 20 basis points in 2007. However, in 2007, the liquidity index of Shanghai Stock Exchange (the buying amount required for a 65,438+0% increase and the selling amount required for a 65,438+0% decrease) increased by 65,438+065,438+09% and 35,438+0995 respectively.

Generally speaking, the liquidity cost of SSE 50 is the lowest, followed by SSE 180 (excluding SSE 50), and B shares and st shares (including *ST shares) are the highest. In addition, the greater the market value of circulation, the higher the stock price and the lower the liquidity cost. From the perspective of industry grouping,

Finance, insurance and extractive industries have the lowest liquidity costs, while communication and cultural industries and information technology industries have the highest liquidity costs. In addition, in 2007, the relative effective spread of Shanghai stock market further declined, and the order execution quality was good [2].

Impact cost analysis The impact cost is not only related to the number of entrusted transactions, but also related to liquidity. The smaller the market liquidity, the greater the impact cost. The daily turnover of the stock market is tens of billions, which seems to be large and liquid. But that's the result of thousands of stocks trading together. If it is subdivided into different stocks,

It is not difficult to find that the liquidity of these stocks is still very poor. Relatively speaking, the impact cost of buying and selling stock index futures is very small. This is because there are only a few corresponding stock index futures contracts, and the concentration of transactions leads to very strong liquidity, even for large institutions, it is very convenient to enter and exit. [3]

Take an open-end fund as an example to talk about the impact cost: if the open-end fund is held by a large number of small holders, the daily and long-term subscription and redemption flows are balanced, and the transaction cost and impact cost are low. If large holders buy frequently, it will lead to short-term flow imbalance, resulting in higher transaction costs and impact costs. Open-end fund is called * * * mutual fund in the United States, which is a collective investment of small holders' funds.

, should not be a tool for big holders or even big institutional investors.

At present, there is no restriction on the subscription scale of a single holder in China. Based on this, if large institutions insist on frequent visits, they should charge fees to make up for long-term holders. The redemption fee that should have been subsidized to small and medium-sized investors is not fully included in the fund assets as a cost compensation for long-term holders. On the contrary, after the fund management company withdraws the redemption fee, it has certain financial resources to reduce the transaction cost of institutional holders in disguise. Under the "subsidy" of redemption fee and subscription fee, institutional investors enter and leave open-end funds more frequently, forming a vicious circle, further increasing the transaction cost burden of small and medium-sized investors.

Open-end funds, for example, are like ships sailing in the sea. The fund management company is the captain and the holder is the passenger. Some passengers frequently get on and off the ship, resulting in intermittent navigation, which has an impact on passengers still on board. Frequent purchase and redemption make the fund assets in an unstable state, and the increased transaction costs are borne by the long-term holders, that is, passengers still on board. Redemption fee was originally used as compensation for long-term holders, but it was extracted by fund management companies as sales expenses. The fund industry wants holders to invest for a long time, but as a result, long-term investors bear the transaction costs of short-term customers and bear the impact. What is exposed behind this is the inherent defects of global open-end fund financing.

(Southern Fortune Network SOUTHMONEY.COM)

(Editor: Zhang)