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Research on the Characteristics of China’s Stock Market Based on the High Frequency Data

Author: DiChangLi
Tutor: WangChunFeng
School: Tianjin University
Course: Finance
Keywords: Microstructure Mobility Volatility High-frequency data
CLC: F832.51
Type: Master's thesis
Year: 2007
Downloads: 272
Quote: 1
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Abstract


In recent years, with the development of the world economy, the financial growing in economic status and the depth of the financial market research and financial market microstructure research not only conducive to the understanding of the essential characteristics of financial markets more conducive to financial markets the inherent discovery of the law, the study of the microscopic structure of the financial markets has become a hot topic of today's financial research areas. With the continuous development of computing technology and the development of the electronic trading system at the same time, the decline in transaction costs, the continuous improvement of the securities market in data acquisition and processing method, high-frequency data increasingly easy to obtain. The gradual deepening of the microstructure research objectively requires attention to the market microstructure researchers used high frequency data on the behavior of the market characteristics and market research. This paper aims to financial market microstructure theory-based empirical research on the characteristics of the stock market, the market, the use of high-frequency data. The paper is divided into three parts: the theory of market microstructure and the relationship between volume and price; empirical research based on market characteristics of the stock market of the high-frequency data; Finally, on the basis of the empirical analysis, we give the policy recommendations, concludes. The first part include: Chapter 1, this chapter is the introduction part of this paper, given the research background, research purposes, and this innovation. Part II: Chapter 2 Description to contact close some basic knowledge of the market microstructure and market characteristics of some of the basic financial market microstructure and market characteristics, which we later research on the characteristics of the stock market significance. Chapter 3 Summary of the study of the relationship between volume and price theory, the relationship between trading volume and volatility has been a focus of research in the field of financial economics, between trading volume and price volatility, the market is characterized by the formation of market prices an outward manifestation of the mechanism, in the past, scholars research concerned with the use of low-frequency data on the relationship between volume and price, easy sex with the the microstructure theory development and high-frequency data, it is necessary to fluctuations in the trading volume of a high-frequency data The relationship between empirical. Part III: This section includes chapters 4 and 5. Chapter 4 empirical analysis of persistent feature of the volatility of the stock market based on the high-frequency data estimated two angles to explain the persistent fluctuations from the information flow and volatility. The introduction of the trading volume and \reasons; Chapter 5, based on high frequency data on stock market liquidity and volatility characteristics of empirical research, this article from said market liquidity multiple angles, the empirical test intraday market liquidity and volatility characteristics and their mutual relationship. Part IV: This section includes a Chapter 6, on the basis of empirical test above, concludes the paper and gives policy recommendations.

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