Microstructure of the Chinese stock market: A historical review

Zhe Peng, Kainan Xiong and Yahui Yang

Pacific-Basin Finance Journal, 2024, vol. 88, issue C

Abstract: This paper provides a comprehensive review of extant studies on the microstructure of the stock market in Mainland China. We examine the price formation, trading protocols, and regulatory framework of this market and how these underpinnings affect the pricing, price patterns, and trading volume of stocks. Overall, the Chinese stock market is shaped not only by investors but also by frequent regulatory interventions and external shocks. We also describe available datasets and how the lack of granularity of data constrains high-frequency trading and studies thereon. To facilitate research in the future, we also suggest some topics for further research.

Keywords: Chinese stock market; Market microstructure; Economic reform; Market design; Trading rules; Intraday patterns; Stock market regulations; Trade and quote data; Financial history (search for similar items in EconPapers)
JEL-codes: G14 G18 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24003032

DOI: 10.1016/j.pacfin.2024.102551

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