Price Formation Mechanism of the Chinese Stock Market: An Empirical Study Based on Information, Investor Behavior, and Quantity-Price Relationship

Author: Liu Jianhe and Miao Renbing
Publisher:
Publish Date: 2005-11-01
Features: The reform and development of the stock market necessitate attention to the price formation mechanism of the domestic stock market. Only by meeting the requirements of the price formation mechanism can the market maximize financing under its capacity to support the development of the real economy, truly realize the equity financing and resource allocation functions of the stock market, and ensure its healthy development. At the same time, the domestic investor base is dominated by retail investors, who have not yet formed rational investment concepts through theory and practice. Even institutional investors, represented by funds, often exhibit irrational behavior. Cultivating rational investment concepts and forming correct investment views must also be grounded in a clear understanding of the stock market's price formation mechanism from both theoretical and empirical perspectives. It is precisely for this reason that researching the price formation mechanism of the stock market is highly urgent. Although the theoretical community has conducted extensive research on the pricing mechanism of the stock market in various aspects and achieved certain results, overall these achievements primarily focus on specific aspects of the price formation mechanism, leaving a gap in systematic and comprehensive research on the stock market's price formation mechanism. Therefore, this book attempts to adopt a systematic and comprehensive approach, using theory as a foundation and empirical testing as the main method, to reveal the price formation mechanism of the Chinese stock market through quantitative indicators.