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A Study on Time between Trades and Volatility

Author: HuangWenJing
Tutor: WeiWeiXian
School: Xiamen University
Course: Financial Engineering
Keywords: time between trades volatility the ACD model
CLC: F832.51
Type: Master's thesis
Year: 2008
Downloads: 129
Quote: 1
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Abstract


Since the stock market became hotter and hotter at the end of 2005, Chinese security market has developed more and more, and another brand new financial derivative—futures on stock indices is vividly portrayed after stock warrants came out. The thesis studies on time between trades and volatility to explain the process of price adjustment in a new way, which is not only the vital to the process of stock price adjustment, but also the process of price adjustment of futures on stock indices. The thesis tries to support a different way to study on futures on stock indices, especially the impulse cost, and make a contribution to improving Chinese stock market, even the whole financial market.The thesis combines qualitative analysis and empirical study. The thesis imports Easley and O’Hara (1992) Model developed according to the fact of Chinese security market, does empirical study on Synthetic Security Index of Shanghai, and the relationship between its time between trades and volatility, by the ACD model, and gets some conclusions.By analysis in the first half part of the thesis, the author gets the conclusions as follows: given there is no trade, the probability of no information event rises and the probability of existing information event falls; if the probability of trading with the informed traders is high, the probability of an information event is low, and then the relationship between its time between trades and volatility is negative. This negative relationship is proved in Chinese security market. It is also proved in many other security markets. But it doesn’t mean it’s always true in all markets. This conclusion has not been reached before the thesis. At the same time the empirical study proves that the form of the conditional time between trades and volatility is different from that in other security markets.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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