Microstructure Research On China Securities Market Volatility

Since the birth of the stock market, it has always been playing a unique role both in resources allocation and information transduction. The purpose of this paper is to probe into the volatility characteristics of China securities market, especially the small and medium-sized stock market, so as to offset the deficiency of our microstructure studies. Based on the analysis of both domestic and international literature, this paper starts with securities-index volatility, and then does microstructure research on China securities market volatility, using high-frequency data of the small and medium-sized stock market, that is, this paper dedicates to explore the statistical rules of China's stock market by the empirical analysis of securities-index volatility.This paper is divided into five chapters. Chapter 1 puts forward the purpose of the study, the methods we will use and the significance; chapter 2 is the review of related literature, including volatility theory; chapter 3 introduces the necessary theories and models of microstructure research on China securities market, including ARCH model group, SV model and ACD model; chapter 4 is the securities market volatility empirical studies using the 2007 semi-annual high-frequency data of the small and medium-sized stock market; and chapter 5 is the conclusion, the suggestion and the research prospect. We analyzed the mode of securities volatility within day and within week and then, a GARCH model based on the semi-annual high-frequency data of the small and medium-sized stock market is built, research indicates that the securities volatility within day presents double "U" or we can say "W" mode; and from the within week volatility mode we can make out, the index return of our small and medium-sized stock market presents the characteristic of cycle by day, and "weekend effect" exists; the empirical studies using the 2007 semi-annual high-frequency data of the small and medium-sized stock market indicates that, aiguilles and fat tails exist and GARCH (1,1) model is a good model to simulate the index yield rate volatility of China small and medium-sized securities market, besides, the average semi-annual yield rate is weak positive, which means it is hard to gain profits for ordinary investors. Finally, we sum up the conclusions of this paper, prospect the econometric hot spots in the future, and the significance of doing research using high-frequency data on China securities market.The innovation of this paper lies in: firstly, using high-frequency data analyzed the yield rate volatility of China small and medium-sized securities market for the first time, analyzed the "within day effect" and "within week effect" of the small and medium-sized securities market yield rate volatility from the view of microstructure; and secondly, using GARCH model to simulate the yield rate of China small and medium-sized securities market, and select the best one by using different lags.