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

Author: Liu Jianhe, Miao Renbing
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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 constraints 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 either theoretically or practically. Even institutional investors, such as funds, often exhibit irrational behavior. To cultivate rational investment concepts and foster a correct investment perspective, it is essential to understand the price formation mechanism of the stock market from both theoretical and empirical perspectives. It is precisely for this reason that research on the price formation mechanism of the stock market is highly urgent. Although the academic 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 approach the issue from a systematic and comprehensive perspective, employing a method grounded in theory and primarily relying on empirical testing to reveal the price formation mechanism of the Chinese stock market through quantitative indicators.