Reserch Of High Frequency Volatility Of Chinese Securities Market Based On Heterogeneity And Jumps

Microstructure noise,an important factor to the financial assets price discovery,influences high frequency financial market in a more complicated way.As an irreplaceable representative of the emerging stock market,C hinese stock market has developed rapidly for more than 30 years and achieved remarkable accomplishments.Its effect gradually improved the national economic development.However,problems are still obvious,such as the inefficiency of market mechanism,huge price fluctuation of financial products,noticeable heterogeneity and difficulties in risk control.Taking the market where high frequency data is widely applied,researches on price discovery under the impact of microstructure noise as well as the financial risk control need to be addressed.During the study of high frequency fluctuation in Chinese stock market,models such as SV,ARCH and GARCH provided explanations of price discovery process.But the characters of frequent fluctuation and stock market are still not perfectly depicted.Most researches of volatility focus on either heterogeneity or jumps where as the integration of two or more factors are seldom considered.In China,researche s on whether the heterogeneity and jump triggered volatility can be transmitted between Shanghai and Shenzhen market,as well as risk control in transmission are just getting started.In order to reveal the characteristics of frequent volatility in Chin ese stock market more precisely,market discovery theory,market heterogeneity hypothesis and fractal market theory have been analyzed according to empirical analysis on the long memory property,heterogeneity and jumps.It found that long memory property and heterogeneity are significant both in bull and bear market,however,a bear market has bigger fluctuation in long memory and larger impact by heterogeneity.Hence,HAR is chosen as the basic model for better suitability.In empirical analysis,there is a deviation due to the jump factor based on traditionaltZ statistic.Jumps contained in continuous time variable have not been accurately filtered out resulting as a biased outcome in price discovery.This paper establishes_tC TZ based on threshold function to filter out jumps more accurately.A demonstration of empirical study that jumps based on threshold function are time-varying,clustering,correlating and having tendency.Based on the findings of high frequency volatility in Chinese stock market,three aspects have been further studied.Firstly,NPL-HAR-TCJ model is built by absorbing heterogeneity,jumps based on threshold function and tendency in HAR model.The model not only reflects dynamic disparity of multiple components in market but also filters out discrete jumps by occupying jumps tendency as leverage variable in threshold function.It fits better with the price discovery process considering the factor of microstructure noise.Empirical analysis of Shanghai stock market admits optimized accuracy and predictability of NPL-HAR-TCJ model comparing with HAR models.Secondly,analyze the influence of heterogeneity and jumps on high frequency volatility based on NPL-HAR-TCJ model.The transmission effect among different financial markets and products is one of the research focuses.This paper takes the lead in subdividing market phases and analyzes the transmission between Shanghai and Shenzhen both in bull and bear markets.We found that the transmission and correlation is comparatively stronger in a bull market rather than a bear market due to a more complex interaction among multi-investors with heterogeneity.Thirdly,CT_Beta estimator is built based on the threshold function to strengthen the risk control.We establish CT_Beta which has solved the instability caused by time-varying,the heterogeneity and jump impact on high frequency volatility,the transmission between Shanghai and Shenzhen markets and the complexity of heterogeneity in a bear market.The functions are better than the previous Beta system in simulation and prediction accuracy.It developed a referential path to strengthen financial control by heterogeneity and jumps.To sum up,by taking heterogeneity and jumps as two indexes of measuring microstructure noise of stock market,this paper built the NPL-HAR-TCJ model combining the remarkable characters of heterogeneity and jumps in high frequency volatility of the market in China.Moreover,we will get a better simulation and prediction in variable filtering,jump analyzing and practical volatility.Meanwhile,this paper takes the lead in measuring the transmission between Shanghai and Shenzhen markets uncovering the transmission relationship in different market phases.CT_Beta risk-control variable is built based on threshold function in order to reflect heterogeneity and jump risks.It reveals the high frequency volatility and price discovery process more profoundly according to heterogeneity and jumps in Chinese stock market which provides useful reference for elevating risk control level in the future exploration.