基于时间特性的中国股市交易集群性特征的研究

A Study of Transaction Clustering in Stock Market of China Based on the Time Characteristic

本文以自回归条件久期模型(ACD)为基础,选择标志我国股市交易集群性特征的代理变量,建立了刻画该特征的实证模型,检验了我国上海证券所个股的交易过程中集群性问题。实证结果表明,我国证券市场交易过程中的集群性是由于以私人信息为基础的信息交易所引起的,私人信息的进入导致了证券市场在时间方向表现出更大的波动性。

On the basis of autoregressive conditional duration model and representative variables denoting the trade clustering characteristic in China stock market, empirical models depicting the characteristic are built up and the clustering of volatility of individual stock in the course of transaction in Shanghai Stock Market is tested. The research results indicate that the transaction clustering is caused by the informed trades and the volatility with respect to time is magnified due to the private information introduction in stock market of China.