An Empirical Analysis of the Shanghai and Shenzhen Limit Order Books
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- Chung, Huimin & Gao, Cheng & Lu, Jie & Mizrach, Bruce, 2013. "An empirical analysis of the Shanghai and Shenzhen limit order books," Economic Modelling, Elsevier, vol. 34(C), pages 37-41.
- 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.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Westerlund, Joakim & Narayan, Paresh Kumar & Zheng, Xinwei, 2015. "Testing for stock return predictability in a large Chinese panel," Emerging Markets Review, Elsevier, vol. 24(C), pages 81-100.
- Chiarella, Carl & He, Xue-Zhong & Wei, Lijian, 2015. "Learning, information processing and order submission in limit order markets," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 245-268.
More about this item
Keywordslimit order book; Chinese stock market; microstructure; VAR model;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-28 (All new papers)
- NEP-MST-2013-07-28 (Market Microstructure)
- NEP-TRA-2013-07-28 (Transition Economics)
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