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 …

In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share
market. Intraday reversals are shown to be robust with respect to seasonality, alternative …

We study market-wide liquidity and trading activity in China. Trading activity increases in up
markets more than in down markets, which is consistent with the disposition effect and the …

Financial asset liquidity and its linkages to general market conditions form an important part
of illiquidity risk analysis in financial economics. Cross-asset liquidity linkages are known to …

Based on high-frequency firm-level data, this paper uncovers new empirical patterns on
intraday momentum in China. First, there exists a strong intraday momentum effect at the firm …

The Chinese stock market design offers a unique opportunity to examine the impact of pre-
open call auctions on price efficiency and price discovery. By comparison, we find that …

This study constructs nine (five) idiosyncratic (systematic) variables to test the predictive and
contemporaneous power of the determinants of stock liquidity. We select A shares from …

This article shows that the overnight return reversal is strong at a firm level in the Chinese
stock market: the overnight return negatively predicts the first half-hour return of individual …

Using a mix of newly assembled survey and secondary datasets on Africa, we examine
financial market development from the perspective of the microstructure of corporate bond …

On 20 February 2012, the Taiwan Stock Exchange Corporation launched an order-matching
simulation mechanism for five minutes during the start of the pre-closing session, in order to …