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Chapter 1: Demystifying China’s Stock Market: The Hidden Logic behind the Puzzles -- Chapter 2: What Does History Tell Us? The Roots of China’s Modern Stock Market -- Chapter 3: A Government-Dominated Financial System -- Chapter 4: A Chinese style speculative market -- Chapter 5: The...
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This paper examines the within-market and cross-market information content of order flow for stocks, corporate bonds and Treasury bonds in China. With daily-aggregated tick-by-tick data over three years on the Shanghai Security Exchange, we find negative cross-asset effects of order flow on...
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