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Empirical Analysis Of China's Stock Market Price Volatility And Information Flow Relations

Posted on:2004-12-29Degree:MasterType:Thesis
Country:ChinaCandidate:Z J ChenFull Text:PDF
GTID:2206360122475888Subject:Statistics
Abstract/Summary:PDF Full Text Request
Volume-price relation in stock market refers to the relationship between price volatility of shares and trading volume. Research on volume-price relation can promote study on the microstructure of stock market, for its important theoretical and practical value to resovle some problems of price volatility in Chinese stock market. Clark(1973), Epps(1976), Tauchen & Pitts(1983) established and developed the Mixture of Distributions Hypothesis (MDH). It believes that price volatility and trading volume are determined by potential and unobservable information flow whose impact creates both price volatility and trading volume at the same time. Information flow is a mixed variable, which can be substituted by two indexes-trading times per day and trading volume. Therefore, exploration into the trading volume impacts on price volatility is actually the analysis of the information flow impact on it. Research on the relationship between information flow and price volatility of shares helps to know the microstructure of captial market and unveil the cause of price volatility. This paper starts with the basic theories on information and the operation of stock price, introduces the MDH theory and its relative research, and makes case analysis within MDH theory on the relationship between price volatility and information flow in Chinese stock market.The paper has four parts:The first part introduces the basic theories on information and the operation of stock price. It brings in the volatility of stock price. Information is the base of stock price operation and actually is the direct reason of volatility, stock price operation reflects information on the same time.The second part presents the MDH, introducing its theory and relative exploration. After the brief analysis on ARCH model, it demonstrates the analysis frame of MDH in detail.The case test of MDH in Chinese stock market is found in the third part.Analyzing the closing prices of composite index in Shanghai Stock Market and component index in Shenzheng Stock Market between January 11th 1993 and December 31th 2002 and using unexpected trading volume as the substitute for information flow, it illustrates the relationship between information flow and price volatility.The fourth part is the conclusion of this paper. It concludes the research result of the third part and presents the defects in the analysis.
Keywords/Search Tags:volatility, information flow, Mixture of Distributions, Hypothesis, GARCH-M, Case analysis
PDF Full Text Request
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