本文对大量股票交易的高频率数据进行了实证统计推断，描述中国证券市场微观结构特征，这一点在国内的研究中还不多。

This paper has an empirical inference of high-frequency return and describes the microstructure characteristic. It is rather rare in domestic studies.

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对证券市场微观结构的研究多集中在模型的解释和应用方面，而对其理论产生的原因、背景和学术渊源等内在逻辑却少有关注。

Much research of the security market microstructure concentrates on the hermeneutic and the application of the models, not as to the problems such as reasons, backgrounds and academic origins.

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金融市场微观结构理论和行为金融学的兴起引起了人们对证券市场羊群效应的广泛关注。

The emergence of the theory of financial market micro-setup and behavior-finance has aroused extensive focus on the herd effect in securities market.

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