The Effect Of Heterogeneity Of The Financial Market

Financial market is one of the most important parts of our country’s economic system, which has served a significant function as a barometer of the economy of our country. A healthy and order financial market will directly lead our country’s economy to a balanced development. Therefore, the research on the financial market is not only related to the people’s life in detail, but also affects the lifeblood of the national economy. Since the heterogeneous market hypothesis was put forward, the domestic and foreign scholars have conducted extensive researches on financial market. In this paper, which is based on the heterogeneous market hypothesis, the heterogeneous effect of the national financial market is researched by the numbers, and the paper points out that the heterogeneous effect of the financial market is caused not only by the incomplete information which comes from the market’s microstructure, but also by the fact that the market traders are heterogeneous. Firstly, using the low volatility and the daily realized volatility respectively to describe the low frequency data and high frequency data and using the volatility of heterogeneous autocorrelation analysis, indicating that the presence of monthly effect and quarterly effect have remarkable effects on the financial market of our country; secondly by using principal component analysis of heterogeneity, principal components extracted from the financial market heterogeneity effect; at the same time, this paper found that the low-frequency fluctuation rate in the heterogeneous effects explain market there are advantages and explain the reasons, and discusses the types of market traders and bring the market heterogeneity effect heterogeneous group. Then, by the family of AR model and HAR model to explain the past traditional low-frequency volatility and realized volatility on the impact of volatility, using heterogeneous principal component extension of the HAR model, HPC model is obtained, which could enhance model fitting ability and prediction ability. Finally, according to the extension of the model results indicates the deficiencies the corresponding policy recommendations and the disadvantages of this paper.