Trading System, Transaction Costs, and Market Quality: Theoretical and Empirical Research on China's Securities Market

Author: Wang Yanqian
Publisher:
Publish Date: 2004-09-01
Features: This book takes the exploration of the role of securities trading systems in influencing market quality as its fundamental starting point, focusing on demonstrating the following theoretical viewpoints: the basic trading strategies and transaction costs of market participants play a "mediating transmission" role in linking trading systems with market quality. Within the framework of market microstructure theory, with the Chinese securities market as the primary object of analysis, the author employs mathematical models, comparative research, and empirical tests to analyze the effects of different trading system structures on the trading strategy space and transaction costs of market participants, as well as the resulting impacts on market quality attributes such as liquidity, volatility, and efficiency.