Font Size: a A A

Empirical Research On The Chinese Stock Market Volatility Model

Posted on:2005-09-11Degree:MasterType:Thesis
Country:ChinaCandidate:S Q HuFull Text:PDF
GTID:2206360152457265Subject:Business management
Abstract/Summary:PDF Full Text Request
Market Microstructure Theory is a new intercross subject. Its difference from the classical finance theory is that it doesn't take financial asset price as a macroscopic phenomenon but dedicates to describe the financial assets pricing process under the specific market microstructure. According to the market microstructure theory, as a inherent variable to price processing, market microstructure affects the market volatility market transparency market efficiency and market liquidity. Based on the market microstructure theory, this paper studies on the character of trading volume return and return volatility in china stock market through narrowing the time window. After describing the intraday and intraweek volatility patterns, this paper uses the market microstructure theory to explain the outcome and builds a dumb regression model to analyze further. This paper also researches into the relationship between trading volume and return volatility using a high frequency data of five minutes interval.The paper reaches some conclusions as follows:1. The high frequency data of five minutes interval study indicates that under the order-driven mechanism, the trading volume return and return volatility of china stock market follows a strong intraday patters.2. After testing on weekday affect using the high frequency data, it is found that in Monday the return volatility of china stock market is the highest.3. The high frequency data studies shows that the trading volume affects the return volatility and the lagged trading volume still affects the current volatility.Accroding to the empirical study conclusions, this paper connects the mechanism of china stock market the investors behavior with the price discovering process to discuss the affect of market microstructure to price process. Thus this paper reveals the efficiency the china stock market, evaluate the market validity and some advices are also put forward to improve the microstructure trading mechanism.
Keywords/Search Tags:market microstructure, stock market, volatility, intraday patterns
PDF Full Text Request
Related items