On Intraday Shanghai Stock Exchange Index

This paper investigates the return, volatility, and trading on the Shanghai Stock Exchange with high-frequency intraday five-minute Shanghai Stock Exchange Composite Index (SHCI) data. The random walk hypothesis is rejected, indicating there are predictable components in the index. We adopt a time-inhomogeneous diffusion model using log penalized splines (log P-splines) to estimate the volatility. A GARCH volatility model is also fitted for comparison. A de-volatilized series are obtained by using the de-volatilization technique of Zhou (1991) that resample the data into different de-volatilized series with more desired properties for trading. A trading program based on local trends extracted with a State Space model is then implemented on the de-volatilized five-minute SHCI return series for profit. Volatility estimates from both models are found to be competitive for the purpose of trading.

並列關鍵字

GARCH ； high-frequency data ； intraday volatility ； penalized splines ； random walk ； state space model ； trading

被引用紀錄

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蔡宜穎 (2014). 流動性風險下之選擇權評價 [master's thesis, National Tsing Hua University]. Airiti Library. https://www.airitilibrary.com/Article/Detail?DocID=U0016-2912201413544631

王仁傑（2016）。PbTe熱電元件中Ag-Ge接點界面反應及Ag-Ge-Ni 與Ag-Ge-Co三元系統相圖〔碩士論文，國立清華大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0016-0901201710353286

延伸閱讀

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國際替代計量

On Intraday Shanghai Stock Exchange Index

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