An Analysis of Characteristics of China's Stock Market Microstructure
- 管理学院－已发表论文 
本文根据股票市场微观结构理论 ,运用高频数据对我国深圳股票市场的买卖报价价差的变动模式进行实证分析 ,同时研究股票买卖报价价差的影响因素和成因 ,并建立和检验相应的模型 ,从而揭示我国股票市场的微观结构特征。This paper uses high frequency data from Shenzhen Stock Market to conduct an empirical study of bid-ask spreads patterns and the associated determinants that affect bid-ask spreads by theory of stock market microstructure. To search for the characteristics of China's stock market microstructure, the models are formulated to test the factors that affect the bid-ask spreads patterns. The empirical study finds that there exists a “L" bid-ask spreads pattern in Shenzhen Stock Market, and the spread is relatively small. In addition, the factors that affect the bid-ask spreads include variance, price, and some trading time periods such as 1-hour after morning trading, 10-minute after afternoon trading and 20-minute before the market closes. These findings reflect some characteristics of China's stock market microstructure, they are not only helpful for us to understand the trading information and bid-ask spread patterns, but also very important for supervising market and re-adjusting trading policies.