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). / Doctor of Philosophy (PhD) (Economics and Finance)
| Identifer | oai:union.ndltd.org:ADTP/189180 |
| Date | January 2006 |
| Creators | Guo, Mingyuan, University of Western Sydney, College of Law and Business, School of Economics and Finance |
| Source Sets | Australiasian Digital Theses Program |
| Language | English |
| Detected Language | English |
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