Breakdowns in market quality are extreme price movements that reverse once the market learns that nothing fundamental has occurred. The average daily breakdown frequency from 1993-2013 is 1.03%, with averages in 2010-2013 more than two-thirds lower at 0.34%. Breakups, extreme price increases,...

This paper investigates the market microstructure of the Shanghai and Shenzhen Stock Exchanges. The two major Chinese stock markets are pure order-driven trading mechanisms without market makers, and we analyze empirically both limit order books. We begin our empirical modeling using the vector...