上海交易所A股和B股区别论文翻译.docVIP

上海证券交易所A股和B股区别论文翻译（中英文对照） A. Data and Preliminary Statistics The trading processes for A- (local) and B- (foreign) shares on the Shanghai Stock Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE) are similar. Both exchanges run order-driven, automated markets. Neither exchange has designated market makers. Traders can only submit limit orders, which arrive at an electronic consolidated open limit order book (COLOB). An incoming order is automatically matched against the best standing limit order in the COLOB, according to the price-time priority principle. If it cannot be matched, then it is added to the COLOB. There is no block trading system that allows liquidity traders to trade large volumes in an upstairs market. Off-exchange trading and insider trading are both forbidden, but this is not tightly monitored. The minimum trade size is 100 shares for local shares in both markets, but 1,000 shares for Shanghai foreign shares and 100 shares for Shenzhen foreign shares. Our data consist of all time-stamped trades and quotes from January 2000 to November 2001 for all stocks traded on the SHSE and the SZSE.7 We apply a number of filters to our data. First, we limit the sample to firms that traded A- and B-shares throughout the sample period, thereby reducing the number of firms from over 1,000 to 84. Second, we exclude eight firms, because only for a few days we find nonzero volume in the B-share market. Third, for the remaining 76 firms, we remove days for which, for exogenous reasons, there was no or very limited trading in either the A- or the B-share market.8 Fourth, we remove stale quotes, which are easily recognized through zero depth. Fifth, the first and last 15 minutes of each trading session are removed from the sample. A.数据和初步统计 A股和B股在上海证券交易所和深圳证券交易所的交易程序都是类似的。二者的交易都是以买卖盘带动，且都使用电脑进行自动化交易。二者都没有指定的做市商。而且，交易者只能通过一个开放的电子综合限价书（COLOB）来提交限价购买委托书。按照时间和价格优先的原则，买入委托单会自动和COLOB中最佳的限价单进行匹配。如果不能匹配，则会将买入委托单加入到COLOB中。 并不存在大宗交易系统允许流动交易者在上层市场进行大宗交易。场外交易和知情交易都是被禁止的，但检测系统并不