| Finance essentially is empiricism research. Based on the study of former researches, this paper empirically studies several problems of China's security market microstructure. This project is carried out in order to test the rational of theory logistics based on the facts and further modify the existed hypothesis. The main contents include several parts:1. We firstly define the definition and components of security market microstructure and analysis the relationship between the market macrostructure and market quality. We believe that research the market transaction cost, liquidity, volatility and efficiency from the microstructure perspective maybe bring some results that different from the traditional finance. In terms of microstructure, the form of market organization and trading mechanism are the most important factors that influence the market quality. The trading strategies of market participants in the different trading mechanism have different impact on the market price formation. Also, the market prices impact the psychology of market participants and further impact their investment strategy. We are able to analysis more carefully the institutional influence of trading and the change of investment strategy by utilizing the high-frequency intraday trading data. Secondly, we analysis the components of China's security market microstructure and generalize the existed research results.2. We empirically test the return serial correlation of Shanghai Stock Market under the VR (variance ratio) test framework. We suggest that the test results of index and individual stocks are consistent with the exist results. The index return is positive serial correlation and individual stocks returns are weakly negative serial correlation. This seemly paradox results just have one explanation that there are larger positive autocoorelation between the different stocks at different time points. We also analysis the heteroskedasticity of serial correlation and find the linkage between the serial...
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