Chung, Huimin; Gao, Cheng; Lu, Jie; Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 2013
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...
