Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Systems Engineering》 2005-03
Add to Favorite Get Latest Update

Review of Empirical Research on Financial Market Microstructure Based on High-frequency Data

ZENG Yong,WANG Zhi-gang,LI Ping (School of Management, UESTC, Chengdu 610054,China)  
Based on high-frequency data an introduction to the empirical research on the financial market microstructure such as volatility,market efficiency and liquidity and some suspicion about some traditional economical hypotheses and theory framework caused by this empirical research is presented in this paper, and a brief comment about this area is also given. Finally, we present some forward empirical research directions on China stock market microstructure.
【Fund】: 教育部优秀青年教师资助计划项目(教人司[2003]355号)
【CateGory Index】: F830.91
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
【Citations】
Chinese Journal Full-text Database 3 Hits
1 FANG Zhen-ming,WANG Chun-feng,JIANG Xiang-lin(School of Management,Tianjin University,Tianjin 300072,China);Return Volatility Analysis in Stock Market of China:High Frequency Data Showing the Characteristic[J];Systems Engineering;2004-02
2 Qu Wenzhou and Wu Shinong (School of Management, Xiamen University);An Analysis of Characteristics of China's Stock Market Microstructure[J];Economic Research Journal;2002-01
3 Liu Qin & Gu Lan;An analysis of the Characteristics and amplitude of the stock exchange data within trading day[J];Statistical Research;2001-04
【Co-citations】
Chinese Journal Full-text Database 10 Hits
1 HAN Dong~1,WANG Chun-feng~1,YUE Hui-yu~2(1.School of Management Tianjin University,Tianjin 300072,China;2.School of Law,Nankai University,Tianjin 300071,China);Inter-and Intra-day Liquidity Patterns——An Empirical Study Based on the Electronic Order-driven Market[J];Journal of Beijing University of Aeronautics and Astronautics(Social Sciences Edition);2006-02
2 SHEN Gen-xiang, LI Chun-qi(School of Economics, Shanghai University of Finance and Economics, Shanghai 200433, China);A Theoretical and Empirical Study on the Performance of Transparency Reform in China Stock Market[J];Journal of Finance and Economics;2008-06
3 Liu Hengyu(Finance and Economics School,Shanghai University,Shanghai 200433);Analysis of Intraday Liquidity Effect of China's Stock Market——The Measuring,Characteristic and Influencing Factors of Liquidity on High Frequency Data[J];Communication of Finance and Accounting(Academy);2008-05
4 WANG Cong,TANG Jing-wu(Jinan University,Guangzhou 510632,China);An Analysis of Factors Affecting the Implicit Transaction Cost in China’s Stock Market[J];Contemporary Finance & Economics;2009-04
5 WEI Li-ya, MA Yong-kai (University of Electronic Science and Technology of China, Chengdu 610054, China);Intra-day Periodicity of Fund Market: a Case Study on High Frequency Data in Shenzhen[J];Contemporary Economy & Management;2007-01
6 ZHONG Li-ming, LIU Hai-long, WU Chong-feng(Financial Project Research Center of Management School, Shanghai Jiaotong University, Shanghai 200052,China);Liquidity of China's Stock Market:Too Much or Too Little?——An Analysis of an Internationally comparative Visual Angle[J];Modern Economic Science;2003-02
7 LEI Jue-ming,ZENG Yong (School of Management,UESTC,Chengdu 610054,China);An Analyses of the Components of the Bid-ask Spreads in Shanghai Stock Market[J];Systems Engineering;2006-06
8 GUO Bao-sheng,REN Ruo-en (School of Economics and Management,Beihang University,Beijing 100083,China);The Development of ACD Model and Its Application in Finance[J];Systems Engineering;2007-10
9 Wang Cong and Tang Jingwu (School of Economics, Jinan University, Guangzhou, 510632 China);The Comparative Study on China’s stock market liquidity[J];South China Finance;2009-05
10 LU Jing1,TANG Xiaowo2(1College of Business Administration,Chongqing University,Chongqing 400044,China;2School of Management,University of Electronic Science and Technology,Chengdu 610054,China);The Relationship between Liquidity and Expected Stock Returns[J];Journal of Industrial Engineering and Engineering Management;2004-02
China Proceedings of conference Full-text Database 3 Hits
1 Lei Jueming Zeng Yong Li Ping School of Management,University of Electronic Science and Technology of China,Chengdu,P.R.China,610054;An Empirical Study of the Component of Bid-Ask Spread(ID:I-003)[A];[C];2007
2 Li Xuying School of Economics and Management, Shanghai Maritime University, Shanghai, 200135;An Empirical Analysis on the China Container Freight Index and Baltic Dry Index[A];[C];2005
3 WANG Ming-ri,LIU Shan-cun (School of Economics and Management, Beijing University of Aeronautic & Astronautic,Beijing 100083, China);Research on the Profltability of Limit Order Strategy[A];[C];2006
【Co-references】
Chinese Journal Full-text Database 10 Hits
1 GAO Yu-xiang, ZHANG Qiu-sheng, YANG Hang, ZHANG Jin-xin (Center for Chinese M&A Research,Beijing Jiaotong University, Beijing 100044, China);Corporate Governance Effect in China Listed Corporate Control Market: An Empirical Analysis[J];Journal of Beijing Jiaotong University(Social Sciences Edition);2004-02
2 ZHU Bao-xian,WU Ya-jun (School of Economics and Management,Tsinghua University, Be ijing 100084, China);Computation of Synergy in Mergers[J];Journal of Beijing Jiaotong University(Social Sciences Edition);2004-03
3 FANG Zhen-ming, WANG Chun-feng(Tianjin University, Tianjin 300072);A Study on the Intraday Effect in Shanghai Stock Market[J];Journal of Beijing Institute of Technology(Social Sciences Edition);2004-03
4 HAN Dong1,WANG Chun-feng1,YUE Hui-yu2(1.School of Management,Tianjin University,Tianjin 300072;2.School of Law,Nankai University,Tianjin 300071);An Analysis of the Components of Bid-Ask Spread in Chinese Stock Market——A Case Study of the Order-Driven Market[J];Journal of Beijing Institute of Technology(Social Sciences Edition);2006-01
5 DAI Zhong-liang(School of Economics, Sichuan University,Chengdu 610064,China);On Principal-agent Theory[J];Commercial Research;2004-19
6 ZHENG Zhaoxia,LIU Tingjian(Shool of Business Administrantion,Sichuan University,Chengdu 610064,China);The Application of Association Rules in Stocks Analysis[J];Journal of Chengdu University (Natural Science);2002-04
7 XIE Mian-bi(College of Business Administration,Jimei University,Xiamen 361021,China);The New Progress of Research on the Theory of Market Microstructure[J];Journal of Chongqing University(Social Science Edition);2006-01
8 SHI Zheng-fu (School of Economics, Fudan University, Shanghai 200433, China);C - type Tactics and Business Value[J];Collected Essays on Finance and Economics;2003-04
9 HU Xu-yang (School of Finance,Zhejiang University of Finance and Economics,Hangzhou 310012,China);The Private Benefits of Corporate Control Shared by the Controlling Shareholders and Its Measurement ——Examples of China's State-owned Share's Transfer[J];Collected Essays on Finance and Economics;2004-03
10 SONG Feng-ming,TAN Hui(School of Economics and Management,Tsinghua University,Beijing 100084,China);Commonality in Liquidity on an Order-driven Market:An Empirical Study on Chinese Stock Market[J];Collected Essays on Finance and Economics;2005-03
China Proceedings of conference Full-text Database 1 Hits
1 FEI Yi-wen,ZHOU Chao-min, GU Men-di (School of Management, Shanghai Jiao Tong University, Shanghai 200052, China);The Effects of State-Owned Shares Transfer in China[A];[C];2004
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved