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Research on the Relationship between the Liquidity and Volatility of China’s Stock Market

Author: ChengPengFei
Tutor: WangChunFeng
School: Tianjin University
Course: Financial Engineering
Keywords: Market Microstructure Mobility Volatility Trading Activity Equity Scale
CLC: F832.51
Type: Master's thesis
Year: 2007
Downloads: 239
Quote: 0
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Abstract


Financial market microstructure theory has become a hot one of today's financial research areas, from a microscopic point to study the characteristics of the financial markets and the inherent laws. Liquidity, volatility has always been throughout the market microstructure theory is used to design market structure and evaluation of a market structure is a mature, stable, widely used standard. In this paper, the relationship between liquidity and volatility to study the core, the use of high-frequency data examined the relationship between liquidity and volatility in the Chinese market, and the influencing factors in this relationship. The final analysis of the trading activity and the scale of the share capital of the Company on the liquidity and volatility transmission mechanism, in order to improve China's stock market to provide some reference. The paper is divided into three parts: the first part: including the first and second chapters. The first chapter is the introduction, introduces the research background and significance, the second chapter is the overview of the financial market microstructure theory. Detailed theory of the origin of the microscopic structure of the financial markets, the development stage, research purpose and Research, and focuses on the theory of representative inventory model and information model, the final microstructure theory of liquidity and volatility definitions and metrics review. The second part is the subject of this article, including Chapters 3 and 4. Chapter III, Article First use of high-frequency data to do a statistical analysis on China's stock market liquidity and volatility characteristics were subsequently examined the relationship between liquidity and volatility in theory and in actual market flow through empirical the volatility relationship with the classical theory is contrary to, and made to explain this phenomenon from the perspective of microstructure. Chapter empirical research on the relationship between liquidity and volatility factors. Respectively from the two perspectives of the market characteristics and company characteristics as a starting point to study the impact of these two factors on the relationship between liquidity and volatility. And trading activity and the scale of the share capital of the Company liquidity volatility relationship mechanism analysis, market characteristics and company characteristics liquidity volatility transmission mechanism. The third part of policy recommendations, and the full text of conclusions. A summary of the full text, based on the empirical analysis of the previous chapters, given the number of policy recommendations for the development of China's stock market.

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