Internationally, price impact costs are usually used to measure the liquidity of the stock market. Price impact cost can also be called liquidity cost, which refers to the impact on price when a certain number of commissions (orders) are quickly completed. Therefore, it is an indicator that includes both immediacy and reasonable price.

The Shanghai Stock Exchange's "Market Quality Report" calculates the corresponding liquidity cost indicator (price impact index), that is, the impact of a certain number of transactions (such as 100,000 yuan) on market prices. From the perspective of liquidity costs, although the liquidity of my country's stock market has greatly improved in the past decade, there is still a very large gap compared with the international market. Comparing the liquidity costs of the Shanghai market with markets in Europe, the United States, and Asia, we can find that the liquidity of the Shanghai market is not only far lower than that of mature markets such as Germany, Tokyo, New York, Pan-Europe, London, and Nasdaq, but also lower in emerging markets such as India and Mexico.

Let’s take another open-end fund as an example to talk about impact costs:

If the open-end fund is held by a large number of small holders, daily and long-term subscription and redemption will The flow is balanced, resulting in lower transaction costs and impact costs. Frequent subscriptions by large holders will cause short-term flow imbalances, resulting in higher transaction costs and impact costs. Open-end funds are called mutual funds in the United States. They are collective investments of small holders' funds and should not become a tool for large holders or even large institutional investors to make waves.

In China, there is currently no limit on the subscription size of a single holder. Based on this, if large institutions have to enter and exit frequently, these institutions should be charged fees to compensate for long-term holders. The redemption fees that should be subsidized to small and medium-sized investors are 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 costs of institutional holders in disguise. With the "subsidies" of redemption fees and subscription fees, institutional investors enter and exit open-end funds more frequently, forming a vicious cycle and further exacerbating the transaction cost burden of small and medium-sized investors.

For example, an open-end fund is like a ship sailing in the sea. The fund management company is the captain and the holders are the passengers. Some passengers boarded and disembarked frequently, causing intermittent sailing and causing shock to passengers still on board. Frequent subscriptions and redemptions put fund assets in an unstable state, and the resulting increased transaction costs are borne by long-term holders, that is, passengers who are still on board. The redemption fee was originally intended to compensate long-term holders, but was withdrawn by the fund management company as a sales fee. The fund industry hopes that holders will invest for the long term, but the result is that long-term investors bear the transaction costs of short-term customers and bear the resulting shock. What is exposed behind this are the inherent flaws in the "uniform pool" financial management of global open-end funds.