Intraday return, volatility and liquidity : an investigation of the market microstructure of the Chinese stock market

Abstract

This thesis examines the characteristics of market microstructure on the Chinese stock exchanges (the Shanghai Stock Exchange and the Shenzhen Stock Exchange ) Analysis is based on using intraday 5-minute data covering a three-year period (2000 to 2002). The study focuses on empirical analysis and statistical testing of the Chinese Stock Market in three parts. Overall, the study suggests that the determinant of information asymmetries, through time and across traders, plays a key role in generating observed liquidity variations. The observed results are contradictory to the findings of Lamoureux and Lastrapes (1990) but in accordance with those of Rahman , Lee and Ang (2002).

Date of Award	2006
Original language	English