The FINANCIAL -- Recently, the SZSE released 2017 the SZSE Stock Market Performance Report, which comprehensively elaborated the operation efficiency and quality of SZSE market in the terms of market liquidity, volatility, pricing efficiency, quality and efficiency of order execution. The report provides important empirical evidence for improving the efficiency of market operations and promoting the healthy development of the market.
The report shows that in 2017, the market performance of the SZSE continued to maintain a relatively high level, with stable overall market operation, proper market liquidity, relatively lower market volatility, and high level of the price validity, order execution quality and execution efficiency.
First, the liquidity in the SZSE market basically remained stable, with a certain degree of structural differentiation though. Compared with 2016, the impact cost of the Main Board in 2017 declined, dropped in width, and grew in depth, and the liquidity of the Main Board improved. The impact cost of the SME Board in 2017 declined, slightly grew in width, and grew in depth, and the liquidity of the SME Board improved. The impact cost of the ChiNext Board in 2017 declined, but grew in width, and declined in depth, and the liquidity of the ChiNext Board declined, according to SZSE.
Second, the volatility of the SZSE market dropped significantly, with the volatility of the Main Board, the SME Board and the ChiNext Board larger than one another in turn. The volatility of asset returns and time varying volatility ratio of A-shares in the SZSE in 2017 were 39 basis points and 40 basis points respectively, being the lowest level in the past decade.
Third, the efficiency of pricing in the SZSE market improved, with the phenomenon of stocks’ price rising or falling at the same time obviously alleviated. In 2017, the market efficiency of different boards in SZSE was at a relatively high level, the overall stock price synchronization index of SZSE Market was the lowest in five years, the phenomenon of stocks’ price rising or falling at the same time obviously alleviated, the pricing efficiency enhanced, all of which, together with the stock price trend, reflected the trait information ability of listed companies improved significantly.
Fourth, the quality and efficiency of order execution in SZSE Market was at a relatively high level. In the last ten years, order execution time has remained generally stable, with execution time of limit order remaining between 260 and 360 seconds.
In the next step, the SZSE will continue to promote the sound development of the market, continuously improving market stability, liquidity and market performance, and providing investors with more efficient and lower-cost trading services.