Microstructure of the Chinese stock market: A historical review

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2024-09-30 DOI:10.1016/j.pacfin.2024.102551

Zhe Peng , Kainan Xiong , Yahui Yang

引用次数: 0

Abstract

This paper provides a comprehensive review of extant studies on the microstructure of the stock market in Mainland China. We examine the price formation, trading protocols, and regulatory framework of this market and how these underpinnings affect the pricing, price patterns, and trading volume of stocks. Overall, the Chinese stock market is shaped not only by investors but also by frequent regulatory interventions and external shocks. We also describe available datasets and how the lack of granularity of data constrains high-frequency trading and studies thereon. To facilitate research in the future, we also suggest some topics for further research.

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中国股市的微观结构：历史回顾

本文全面回顾了有关中国大陆股票市场微观结构的现有研究。我们研究了这个市场的价格形成、交易规则和监管框架，以及这些基础如何影响股票的定价、价格模式和交易量。总体而言，中国股市不仅受投资者的影响，也受频繁的监管干预和外部冲击的影响。我们还介绍了可用的数据集，以及数据粒度的缺乏如何限制了高频交易和相关研究。为了便于今后的研究，我们还提出了一些进一步研究的课题。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.