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The microstructure of the Chinese stock market

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  • Xu, Cheng Kenneth
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    Bibliographic Info

    Article provided by Elsevier in its journal China Economic Review.

    Volume (Year): 11 (2000)
    Issue (Month): 1 ()
    Pages: 79-97

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    Handle: RePEc:eee:chieco:v:11:y:2000:i:1:p:79-97

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    1. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
    2. Robert J. Shiller, 1980. "The Use of Volatility Measures in Assessing Market Efficiency," NBER Working Papers 0565, National Bureau of Economic Research, Inc.
    3. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
    4. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
    5. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "Return Behavior in Emerging Stock Markets," World Bank Economic Review, World Bank Group, vol. 9(1), pages 131-51, January.
    8. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-96, October.
    9. Andrew Abel, . "Stock Prices Under Time-Varying Dividend Risk: An Exact Solution in an Infinite-Horizon General Equilibrium Model," Rodney L. White Center for Financial Research Working Papers 15-88, Wharton School Rodney L. White Center for Financial Research.
    10. Ian Domowitz, 1992. "Automating the Price Discovery Process," IMF Working Papers 92/80, International Monetary Fund.
    11. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    12. Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
    13. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-53, December.
    14. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    15. Bailey, Warren, 1994. "Risk and return on China's new stock markets: Some preliminary evidence," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 243-260, May.
    16. Richardson, Gordon & Sefcik, Stephan E. & Thompson, Rex, 1986. "A test of dividend irrelevance using volume reactions to a change in dividend policy," Journal of Financial Economics, Elsevier, vol. 17(2), pages 313-333, December.
    17. Schwert, G.W., 1989. "Stock Volatility And The Crash Of '87," Papers 89-01, Rochester, Business - General.
    18. Cheung, Yan-Leung & Ho, Richard Yan-Ki & Pope, Peter & Draper, Paul, 1994. "Intraday stock return volatility: The Hong Kong evidence," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 261-276, May.
    19. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
    20. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
    21. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    22. Amihud, Yakov & Mendelson, Haim, 1991. " Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, vol. 46(5), pages 1765-89, December.
    23. Chang, Rosita P. & Fukuda, Toru & Ghon Rhee, S. & Taakano, Makoto, 1993. "Intraday and interday behavior of the TOPIX," Pacific-Basin Finance Journal, Elsevier, vol. 1(1), pages 67-95, March.
    24. Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-35, July.
    25. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
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    Cited by:
    1. Jason D. Mitchell & Li L. Ong, 2006. "Seasonalities in China's Stock Markets," IMF Working Papers 06/04, International Monetary Fund.
    2. Gao, Y. & Tse, Y. K., 2004. "Market segmentation and information values of earnings announcements: Some empirical evidence from an event study on the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 455-474.
    3. Huimin Chung & Jie Lu & Bruce Mizrach, 2009. "An Empirical Analysis of the Shanghai and Shenzen Limit Order Books," CQE Working Papers 0109, Center for Quantitative Economics (CQE), University of Muenster.
    4. Wong, Woon K. & Tan, Dijun & Tian, Yixiang, 2009. "Informed trading and liquidity in the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 66-73, March.
    5. Chen-Chien Hsun & Shih Hui-Tzu, 2003. "Initial Public Offering and Corporate Governance in China's Transitional Economy," NBER Working Papers 9574, National Bureau of Economic Research, Inc.
    6. Copeland, Laurence & Wong, Woon K & Zeng, Y, 2008. "Information-Based Trade in the Shanghai StockMarket," Cardiff Economics Working Papers E2008/2, Cardiff University, Cardiff Business School, Economics Section.
    7. Philip Kostov & Ziping Wu & Seamus McErlean, 2004. "Do Chinese stock markets share common information arrival processes?," Econometrics 0410001, EconWPA.
    8. Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing, 2011. "Is the Chinese Stock Market Really Efficient," MPRA Paper 35219, University Library of Munich, Germany.
    9. Wong, Woon K. & Liu, Bo & Zeng, Yong, 2009. "Can price limits help when the price is falling? Evidence from transactions data on the Shanghai Stock Exchange," China Economic Review, Elsevier, vol. 20(1), pages 91-102, March.
    10. Paresh Kumar Narayan & Zhichao Zhang & Xinwei Zheng, 2010. "Some Hypotheses on Commonality in Liquidity: New Evidence from the Chinese Stock Market," Economics Series 2010_10, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    11. Groenewold, Nicolaas & Tang, Sam Hak Kan & Wu, Yanrui, 2003. "The efficiency of the Chinese stock market and the role of the banks," Journal of Asian Economics, Elsevier, vol. 14(4), pages 593-609, August.
    12. Laurence Copeland & Biqiong Zhang, 2003. "Volatility and Volume in Chinese Stock Markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 1(3), pages 287-300.
    13. Narayan, Paresh Kumar & Zheng, Xinwei, 2011. "The relationship between liquidity and returns on the Chinese stock market," Journal of Asian Economics, Elsevier, vol. 22(3), pages 259-266, June.
    14. Wang, Ping & Liu, Aying & Wang, Peijie, 2004. "Return and risk interactions in Chinese stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 367-383, October.
    15. Amélie Charles & Olivier Darne, 2009. "The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests," Post-Print hal-00771080, HAL.
    16. Chan, Kam C. & Fung, Hung-Gay & Thapa, Samanta, 2007. "China financial research: A review and synthesis," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 416-428.
    17. Lai, YiHao & Tseng, Jen-Ching, 2010. "The role of Chinese stock market in global stock markets: A safe haven or a hedge?," International Review of Economics & Finance, Elsevier, vol. 19(2), pages 211-218, April.
    18. Shenoy, Catherine & Zhang, Ying Jenny, 2007. "Order imbalance and stock returns: Evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(5), pages 637-650, December.

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