標題: An empirical analysis of the Shanghai and Shenzhen limit order books
作者: Chung, Huimin
Gao, Cheng
Lu, Jie
Mizrach, Bruce
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: Limit order book;Chinese stock market;Microstructure;VAR model
公開日期: 1-Aug-2013
摘要: This paper investigates the market microstructure of the Shanghai and Shenzhen Stock Exchanges. The two major Chinese stock markets are pure order-driven trading mechanisms without market makers, and we analyze empirically both limit order books. We begin our empirical modeling using the vector autoregressive model of Hasbrouck and extend the model to incorporate other information in the limit order book. We also study the market impact on A shares, B shares and H shares, and analyze how the market impact of stocks varies cross sectionally with market capitalization, tick frequencies, and turnover. Furthermore, we find that market impact is increasing in trade size. Order imbalances predict the next day's returns, with small order imbalances having a negative effect. (C) 2012 Elsevier B.V. All rights reserved.
URI: http://dx.doi.org/10.1016/j.econmod.2012.11.055
http://hdl.handle.net/11536/23155
ISSN: 0264-9993
DOI: 10.1016/j.econmod.2012.11.055
期刊: ECONOMIC MODELLING
Volume: 34
Issue: 
起始頁: 37
結束頁: 41
Appears in Collections:Conferences Paper


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