Research On The Intraday Time Effect Of China's Stock Market

This paper studies on the stock market of our country in the 5 minute period rate of return to find out the existence of characteristics associated with period itself. This paper studies intraday effects in China’s stock market by the method of previous research about calendar effects, the research object are the market index and specific stock portfolio from January 2006 to December 2015. Some interesting phenomena are found in the process. This paper evaluates these phenomena and proposes explanations for these phenomena.First, this paper discusses the basic situation of statistics within each period in ten years, such as the average payoff rate, standard deviation etc... The first 5 minutes period may have negative effect in the morning. During the 5 minutes before the closing at noon and the closing in the afternoon there is the positive effect of time period.The second step, we construct dummy variables to test which represents the period. This paper estimates parameters by methods of ordinary-least-squares and weighted-least-squares. This model checks the size of the effect, named weak test model. The results of the model determine the effect is not 0 significant. Then this paper constructed a dummy variable matrix representing all periods except the period targeted. It is defined as strong model in this paper. This model discusses the relative size effect tested periods and other periods.The third step, this paper uses the method of moving sample test, to explore the effect of whole period of market index in ten years. The window period chooses length of 3 years. This paper estimates in the moving sample day by day nearly 2000 times.The fourth step, the paper explores the effect of intraday period in the stock portfolio performance. We construct stock portfolios depending on the intraday period. Then we use some common factors to explain the pricing period portfolio yield, such as the market return, the scale factor, the book value ratio factor. According to company size and time period, we divide above portfolios. We find that intraday period effect of stocks of small companies is more obvious than that for big companies.Last, we put out explanations for the effect of time found in the paper. These explanations include demonstration effect, transaction rules, capital controlling.