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Recently the Financial Innovation Laboratory of Shenzhen Stock Exchange issued the 2016 Stock Market Performance Report, which fully reveals the efficiency and quality of the operation of the Shenzhen stock market in detail in terms of market liquidity and volatility, price efficiency and quality and efficiency of order execution, serving as an empirical basis for improving market operation and promoting the sound development of the market.
The report shows that the performance of Shenzhen stock market remained at a relatively high level in 2016, market liquidity was sound, and volatility was significantly lower than the previous year. The overall operation of the market was stable. The price efficiency and quality and efficiency of order execution were both sound.
First, market liquidity was sound with a positive tendency. The impact costs (CNY100,000) of Shenzhen A-share stock market is 12.8%. And liquidity index (1%) was CNY7.77million. Impact cost of main board, SME board and ChiNext board is 10.5%, 13.2% and 13.9% respectively.
Second, market volatility plunged, and market operation is more stable. Shenzhen A-share return volatility and hourly and minutely volatility was 52% and 51% respectively, 35% and 31% lower than the 80% and 74% in 2015. Return volatility of main board, SME board and ChiNext Board was 46%, 52% and 58%.
Third, price efficiency was at a relatively high level. Efficiency index of Shenzhen A-share market was 0.96, higher than 0.93 in 2015, approaching value 1 of the Random Walk Theory. The market efficiency index of the main board, SME board and ChiNext board varies only slightly, being 0.94, 0.95 and 0.97 respectively, all at a relatively high level.
Fourth, the quality of order execution was table and the efficiency was high. Measured in terms of shares, 81% of the orders entrusted were executed at the optimal quote, 68% were executed at a single price, and 40% of the executed orders were executed within 10 seconds after submission. The averaged execution time (from arrival to completion of transaction) for non-market limit orders and market limit orders was 596 seconds and 62 seconds.
In the future, Shenzhen Stock Market shall continue to conduct relevant work to improve the market stability and liquidity and its performance, trying to provide transaction services for investors more efficiently and cost-effectively.
