The paper compares A shares and B shares on the liquidity, volatility and price efficiency, which are proxied by trading volume, return volatility and 1st autocorrelation coefficient separatively.

• 摘要以交易量、股价波动率和收益率的自相关性作为流动性、波动性和价格有效性等微观行为指标，实证分析了中国A股和B股市场在微观行为上的差异。