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在已有的高频时间序列模型的基础上,基于异质市场假说理论,构建了HAR-BACD-V模型.通过实证分析以探询在异质市场环境下不同交易频率投资者的交易行为对股市即时波动的贡献程度以及交易量对交易持续期、金融产品收益率和波动性的影响.研究结果进一步证实了我国股票市场的异质性,不同交易频率投资者的交易行为对股市波动的影响程度是不同的,并且发现交易量对交易持续期、收益率及波动性都存在不同程度的影响.
Based on the existing high-frequency time series model, this paper constructs the HAR-BACD-V model based on the heterogeneous market hypothesis theory, and explores the trading behavior of investors with different trading frequency in heterogeneous market through empirical analysis. The contribution of real-time volatility and the impact of trading volume on the duration of the transaction, the return on financial products and the volatility.The research results further confirm the heterogeneity of the stock market in our country and the impact of the trading behavior of investors with different trading frequency on the volatility of the stock market Is different, and found that the volume of transactions on the duration of the transaction, the rate of return and volatility there are varying degrees of impact.