On Empirical Analysis Of Asynchronous Transactions In The Chinese Stock Market

With the developing of the computer technology, more high frequency financial data, such as stock and exchange rate, can be acceptable in the analysis and investigation of the financial market. Even the time sharing data of stock market and foreign exchange market can be achieved. The high frequency data make the deeper study of microscopic market mechanism and movement mechanism available.This paper uses the high frequency data as sample to study the effect of nonsynchronous on the relativity of stock. Many foreign scholar studied the nonsynchronous a lot, and considered that nonsynchronous induces the autocorrelation and crosscorrelations in stock combinations, and also considered the existing of nonsynchronous do have effect on the lead-lag relationship in the stock combination. This paper mainly applies the theoretical model in Lo,A., A.C.MacKinlay ( 1990) to test our country's stock market, and check if there is effect induced by nonsynchronous in our country's stock market.This paper uses different grouping ways to analysis the crosscorrelations among stock combinations, and compares these grouping ways in order to verify weather there is lead-lag relationship among stock combinations. The result shows that different grouping ways do have different effect on the crosscorrelations in stock combinations. The grouping way, according to the market value, has a common use abroad. But with the domestic data the result is terribly unremarkable. This paper considers this condition is mainly related to the validity of domestic stock market and the participant's goal of increment. Comparing with this grouping way, there is a grouping way according to npntrading times. The data using this grouping way show a more distinct crosscorrelations, and there is a remarkable lead-lag relationship among stock combinations. The comparison between the two grouping ways does show the lead-lag relationship among stock combinations, in a certain extent, coming from the effect of nonsynchronous.In addition, some scholar's studies show that high frequency data exhibit...