- 期刊
An Empirical Investigation of the Intraday Pattern for Characteristic Variables of Market Microstructure in China Stock Market
並列摘要
Financial market microstructure theory is one of most important new finance branches, which has gradually developed into the most active area in modern microfinance researches. China stock market is an emerging stock market having a special market microstructure. It is of great practical significance to study the market microstructure characteristic in China stock market. The market microstructure characteristic variables such as return, volatility, trading volume, bid-ask spread and duration, are random, but may display some determinant intraday pattern in average sense. In this paper we use the parametric and nonparametric methods to test and explain the intraday patterns and examine the intraday variation in return, return volatility, trading volume, bid-ask spread and financial duration for a sample of 178 stocks traded on the China stock market during 2006 and 2009, especially focuses on the intraday pattern of market microstructure variables and compares the differences among three different periods of rising, falling and adjusting period in Shanghai and Shenzhen stock markets. We find that there is some difference existing among the intraday patterns of market microstructure variables under the three different periods. The stock return is higher in the rising period, though the intraday pattern is U-shaped under three periods. The volatility is higher in the falling period and the intraday pattern is inverse J-shaped. The bidask spread is higher in the rising period and falling period, the intraday pattern is J-shaped. The financial duration is shorter in the rising period and falling period, the intraday pattern is inverse U-shaped. Comparing with the U.S. and U.K. stock markets, there are some clear differences in the intraday patterns of the market microstructure characteristic variables in China stock market.
延伸閱讀
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