Micro-Behaviors Differences under Market Segmentation and Behavioral Financial Explanations
市场分割下的股价微观行为及其行为金融学解释

The paper compares A shares and B shares on the liquidity,volatility and price efficiency,which are proxied by trading volume,return volatility and 1~(st) autocorrelation coefficient separatively.The results show that the three measures of A shares are higher than those of B shares before B shares' opening to domestic investors.After the opening,the three measures of B shares increase.These phenomena can be explained by the differences of investor structures between two markets.