| 中国证券市场的HAR-BACD-V模型及其应用 |
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| 引用本文： | 文凤华,唐海如,刘晓群,杨晓光.中国证券市场的HAR-BACD-V模型及其应用[J].系统工程理论与实践,2012,32(3):608-613. |
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| 作者姓名： | 文凤华 唐海如 刘晓群 杨晓光 |
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| 作者单位： | 1. 长沙理工大学
经济与管理学院, 长沙 410114;2. 中国科学院
数学与系统科学研究院 管理、决策与信息系统重点实验室, 北京 100190;3. 湖南省金融工程与金融管理研究中心, 长沙 410114 |
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| 基金项目： | 国家自然科学基金(70971013,71171024);国家973计划(2010CB731405);湖南省杰出青年基金(09JJ1010) |
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| 摘 要： | 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.
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| 关 键 词： | 超高频数据 HAR-BACD-V模型 交易持续期 交易量 |
| 收稿时间： | 2011-04-08 |
HAR-BACD-V model and its application to Chinese stock market |
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| WEN Feng-hua
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TANG Hai-ru
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LIU Xiao-qun
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YANG Xiao-guang.HAR-BACD-V model and its application to Chinese stock market[J].Systems Engineering —Theory & Practice,2012,32(3):608-613. |
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| Authors: | WEN Feng-hua TANG Hai-ru LIU Xiao-qun YANG Xiao-guang |
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| Institution: | 1. School of Economics, Changsha University of Science and Technology, Changsha 410114, China;2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China;3. Financial Engineering and Financial Management Research Center of Hunan Province, Changsha 410114, China |
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| Abstract: | On the basis of pre-existing high-frequency time series model and the Heterogeneous Market Hypothesis,this paper constructed the HAR-BACD-V model.Through the empirical analysis to probe into whether different trading frequency investors’ trade behavior may have different contribution degree to instantaneous stock market fluctuations and volume may affect trading duration,financial product yields and volatility or not.The empirical results furtherly confirmed the heterogeneity of Chinese stock market,meanwhile,different trading frequency investors’ trade behavior have different contributors to stock volatility,and found trading volume also have different influence on trading duration,returns and volatility. |
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| Keywords: | ultrahigh frequency data HAR-BACD-V model trading duration trading volume |
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