Based On The High-frequency Data Of China's Stock Market Investor Behavior Research

In recent years, the scale of the securities market investors is growing amazingly. The sound development of the capital market is crucial to the economy of China. It has been given more realistic significance to study how the investors'behavior affects the securities market. The data is chosen from 2006 to 2009 to research the relationship between the profitability, volatility of stocks in weeks or months with different sizes of liquidity and the purchasing ratio of investors in five groups.It is shown that, to the high volume stocks, the profitability of the securities falls as the purchasing ratio of individual investors rises, and the volatility is not relevant to the purchasing ratio. The profitability and the volatility in weeks of the securities rise as the purchasing ratio of institutional investors rises, however, the volatility in months is not relevant to the purchasing ratio of institutional investors. To the medium-size volume stocks, the profitability of the securities falls and the volatility in weeks rises as the purchasing ratio of individual investors rises, and the volatility in months is not relevant to the purchasing ratio of individual investors. The profitability and the volatility in months of the securities rise as the purchasing ratio of institutional investors rises, however, the volatility in weeks is not relevant to the purchasing ratio of institutional investors. To the low volume stocks, the profitability of the securities falls and the volatility in weeks rises as the purchasing ratio of individual investors rises, and the volatility in months is not relevant to the purchasing ratio of individual investors. The profitability of the securities in weeks rises as the purchasing ratio of institutional investors rises, the profitability of the securities in months, the volatility of the securities in weeks or months are not relevant to the purchasing ratio of institutional investors. Some reasonable advice is given at the end of the paper according to the result of the research.