中国证券市场微观结构研究

Market microstructure is an important area of finance that studies the process and outcomes of exchanging assets under explicit trading rules. Unlike financial or economic theories, which abstract from the mechanics of trading, the market microstructure literature analyzes how specific trading mechanisms affect the price discovery, the liquidity, and volatility of the market. This has immediate applications in the regulation of markets, and in the design and formulation of new trading mechanisms, as well as the comparison between different kinds of market structure. Under the financial supported of the Natural Science Foundation of China, we build an intraday transaction database for the Chinese stock markets by collecting all transactions and quotation data for A- share and B-share stocks, funding, and T-bonds listed in the two Mainland stock exchanges. Based on the intraday database, the following market microstructure issues are studied in this project. First, we examine the intraday market liquidity and its determinants; Second, we study the market structure and its design, focusing on the opening method of morning and afternoon; Third, we investigate the price discovery of A- share and B- share market; Fourth, we explore the price discount puzzle of A-share and B-share. Though our research, we draw a lot of interesting results and put forward several suggestions for improving the market microstructure of China stock markets.

市场微观构理论研究在确定的市场微观结构下资产交易的过程和结果，揭示市场微观结构在.资产价格形成过程中的作用。研究成果可以立即应用于交易规则的制定，新交易制度的设计.。本研究将重点研究中国证券市场价格发现过程。通过利用日内交易数据实证检验中国证券市场上现存交易制度下市场的做市行为。为加强监管，改进交易制度和交易规则提出建议。..