• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文会议>2007 China International Conference in Finance >Analyzing the Dealing Heterogeneity in Traders: Evidence from the China Stock Market
【24h】

Analyzing the Dealing Heterogeneity in Traders: Evidence from the China Stock Market

机译：分析交易者的交易异质性：来自中国股票市场的证据

获取原文
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

According to the heterogeneous market hypothesis, the most striking feature of financial market is that different agents have different time horizons and dealing frequencies. Thus the market has a heterogeneous structure of the participants’ time horizons as it consists of, say, short-term, medium-term, and long-term components. This paper employs the HAR-RV model based on realized volatility from high frequency data to test whether there are obvious heterogeneous market components in the China stock market. Empirical results indicate that there exist at least three market components in the stock market; that is, the structure of the short-term, medium-term and long-term traders. For short-term and medium-term traders, they are predominant in all the stocks; for long-term traders, they may have low trading activities in small market capitalization stocks or stocks of particular industry. Moreover the equity division, which is the exclusive characteristics of the China stock market, does not affect the structure of the market components.
机译：根据异构市场假说，金融市场最显着的特征是不同的代理商具有不同的时间范围和交易频率。因此，市场具有参与者时间范围的异质结构，因为它由短期，中期和长期组成。本文使用基于高频数据实际波动率的HAR-RV模型来测试中国股市中是否存在明显的异类市场成分。实证结果表明，股票市场至少存在三个市场组成部分。即短期，中期和长期交易者的结构。对于短期和中期交易者，它们在所有股票中占主导地位；对于长期交易者，他们在小型市值股票或特定行业股票中的交易活动可能较少。而且，股票划分是中国股票市场的独有特征，并不影响市场组成部分的结构。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号