This paper is based on the stocks listed on the Shanghai and Shenzhen stock exchanges for full year in the early period of 1992 to the end of 2016, using Hasbrouck sampling method to estimate the implicit transaction cost of Chinese order-driven market, and observing the performance of stock market and affecting factors based on the implicit transaction costs. Empirical results show: the implicit transaction cost is an unavoidable cost for investors, and the performance of China stock market is

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... not ideal. Finally, it is suggested that China stock market should improve the trading system, strengthen the information disclosure system and optimize the equity system of listed companies.