The Comparative Study of China's Stock Market

本文从股票市场的微观角度来研究我国股票市场的结构特征,运用高频数据对我国股票市场的委托报价指令、收益率的变动、买卖价差和市场深度进行实证研究。同时通过国际比较,试图在一个国际视野中揭示我国股票市场微观结构特征的特殊性及共同性。从而可以全面地了解我国股票市场的实际情况,掌握我国股票市场微观结构的相关信息及其变化规律。From the point of view microstructure, the paper empirically studies the limit order; bid-ask spread and market depth of China's stock market by using intraday data on stocks trading in a pure electronic limit order book market. As a centralized, computerized, limit order market, the Shenzhen Stock Exchange (SSE) in China is particularly appropriate for studying the interaction between the order book and order flow. Through international comparison, the author also tries to explain the intercommunity and distinctive aspects of the stock market structure of China.国家自然科学基金项目(70403011)经费资助成果之一