Research On The Characteristics Of China's Stock Market Based On The High Frequency Data

Recently with the development of the world economy ,the increasing of financial status of the economy and the in-depth study of financial market ,and as the research of financial market microstructure is conducive not only to understand the nature of the financial market characteristics, more conducive to find the inherent law of the financial markets. the financial market micro-structure has became a hot field in finance today .With the development of computing technology and electronic trading systems, and the transaction costs decline , and as we has improved the acquisition and processing methods for stock market data. High frequency data are becoming easier to obtain gradually in-depth study microscopic structure, also objectively drives the researchers who pay much attention to the market microstructure to use high-frequency data do research on market characteristics and market conduct.Based on financial market microstructure theory, using high-frequency data this paper aim to do empirical research for market characteristics .Thesis is divided into three parts : the market micro-structure and volume-volatility relationship;, empirical research for market characteristics based on the high frequency data; Finally, on the basis of the empirical analysis we give policy recommendations and summary.Part I include: Chapter 1, this chapter is the introduction of this paper is given background of the research, purpose of this study and innovation.Part II include: chapter 2, details on some basic knowledge of the micro-structure of financial markets in the text, which is more closely aligned to the characteristics of the market. This will be of very great significance for research in the next step. Chapter 3 is the summary of the price-volume relationship research the relationship between trading volume and volatility is always a focus in financial economic research. The characteristics of the market between trading volume and the volatility of price are an external performance of the market price formation mechanism. Scholars in the past concerned with the use of low-frequency when they did research about the relationship between trading volume and the volatility, With the development of micro-structure theory and high-frequency data easy got, it is necessary to use high-frequency data to do empirical study the relationship between volume and volatility. Part III: This part includes chapter 4 and Chapter 5. In the chapter 4, based on high-frequency data, we do empirical study for the volume-volatility relationship in stock market to explanation the relationship from information and estimation of volatility. We construct GARCH model with trading volume and"realized"volatility. Based on the mixed distribution hypothesis and ARCH model we empirical analysis the clustering of volatility, inspect that the invalid updated residuals is an important reason for the clustering of volatility. In the chapter 5, based on the high-frequency data we do empirical research for the characteristics of liquidity and volatility on the stock market. From more than one perspective of the market liquidity, we do empirical test for the market characteristics of volatility and liquidity and the relationship between them.Part IV: The segment includes Chapter 6, based on the above test we summary the paper and give policy recommendations.