Return volatility analysis in stock market of China: High frequency data showing the characteristic

被引：0
|
作者：
Fang, ZM [1 ]
Wang, CF [1 ]
机构：
[1] Tianjin Univ, Sch Management, Tianjin, Peoples R China
来源：
MANAGEMENT SCIENCES AND GLOBAL STRATEGIES IN THE 21ST CENTURY, VOLS 1 AND 2 | 2004年
关键词：
volatility; high frequency data; long-memory;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Based on MDH, a theoretical model to describe the intraday volatility of stock market of China is set up from high frequency data. Then intraday periodical and long-memory characters of Shanghai stock exchange market are worked out by frequency analysis method. D-value describing the long-memory of SHSE is calculated by regression of filtered autocorrelation function.
引用
收藏
页码：886 / 893
页数：8
相关论文
共 50 条
  • [1] Analysis of stock market volatility: Adjusted VPIN with high-frequency data
    Yang, Haijun
    Xue, Feng
    [J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2021, 75 : 210 - 222
  • [2] Research on Volatility of the Return by Stages in China Stock Market
    Lu, Fangyuan
    Kang, Hui
    [J]. 2008 INTERNATIONAL SYMPOSIUM ON INTELLIGENT INFORMATION TECHNOLOGY APPLICATION WORKSHOP: IITA 2008 WORKSHOPS, PROCEEDINGS, 2008, : 890 - 893
  • [3] The role of high-frequency data in volatility forecasting: evidence from the China stock market
    Liu, Min
    Lee, Chien-Chiang
    Choo, Wei-Chong
    [J]. APPLIED ECONOMICS, 2021, 53 (22) : 2500 - 2526
  • [4] Cross-sectional return dispersion and stock market volatility: Evidence from high-frequency data
    Niu, Zibo
    Demirer, Riza
    Suleman, Muhammad Tahir
    Zhang, Hongwei
    [J]. JOURNAL OF FORECASTING, 2023, 42 (06) : 1309 - 1328
  • [5] Volatility in Thailand Stock Market Using High-Frequency Data
    Duangin, Saowaluk
    Sirisrisakulchai, Jirakom
    Sriboonchitta, Songsak
    [J]. PREDICTIVE ECONOMETRICS AND BIG DATA, 2018, 753 : 375 - 391
  • [6] Analysis on Multifractal Characteristic of Volatility in Shanghai Stock Market
    Xue Hao
    Li Handong
    [J]. PROCEEDINGS OF THE 5TH (2013) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS I AND II, 2013, : 131 - 135
  • [7] Volatility Analysis of Chinese Stock Market Using High-Frequency Financial Big Data
    Dong, Tongtong
    Yang, Bowei
    Tian, Tianhai
    [J]. 2015 IEEE INTERNATIONAL CONFERENCE ON SMART CITY/SOCIALCOM/SUSTAINCOM (SMARTCITY), 2015, : 769 - 774
  • [8] Volatility Transmission Between the Japanese Stock Market and the Western Stock Market Indices: Time & Frequency Domain Connectedness Analysis with High-Frequency Data
    Kahraman, Serpil
    Keser, Merve
    [J]. APPLIED ECONOMICS, 2022, 54 (06) : 670 - 684
  • [9] Forecasting Chinese stock market volatility with high-frequency intraday and current return information
    Wu, Xinyu
    Zhao, An
    Wang, Yuyao
    Han, Yang
    [J]. PACIFIC-BASIN FINANCE JOURNAL, 2024, 86
  • [10] The return and volatility nexus among stock market and macroeconomic fundamentals for China
    Abbas, Ghulam
    Bashir, Usman
    Wang, Shouyang
    Zebende, Gilney Figueira
    Ishfaq, Muhammad
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 526
12345