Based On The Trading Mechanism Of Stock Market Volatility Empirical Study

Trading mechanisms is the most important element of market microstructure, and microstructure affects the efficiency in the course of pricing financial assets. In addition, price volatility is one of indicators which measure of the efficiency in pricing. So the study for the trading mechanisms on the impact of volatility in efficiency of pricing becomes very important. Competition in the future among global financial markets is the competition of capital markets, and competitiveness and efficiency which capital markets focus on is the efficiency of trading mechanisms in pricing. On the one hand, with the expansion of the scale of Chinese stock market, its international influence is growing. On the other hand, with the launch of new plate and the growth of institutional investors in Chinese stock market, SSE and SZSE have been also put forward higher requirements, such as the urgent need of reform and improvement for the existing operating mechanism and other aspects.Based on the trading mechanisms in the microstructure theory, through the volatility of Chinese stock market, empirical analyses have been carried out. And how to design an empirical model is the difficulty and of importance. In this paper, the SSE and SZSE trading data have been used. Then the descriptive statistical analysis of volatility in Chinese stock market is based on these data. Following this basis, analyses of volatility model in the simulation and description of SSE in terms of effectiveness are taken out. Then firstly, the effect of transactions of boundaries between continuous trading periods and intermittent trading periods is discussed. Secondly, the analysis of significant difference of the price volatility between opening and closing is taken out. Thirdly, the effect on stability of reform of information disclosure system in opening of SSE is also discussed, which followed by the analysis of closing stability in SZSE when its closing mechanism changes. In the empirical, there is analysis of existing trading mechanism and problems in Chinese stock market. Finally alternative design and relevant countermeasures of trading mechanism in Chinese stock market is discussed based on empirical results.