| 日内效应、知情交易与市场微观结构——招商银行的例证 |
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| 引用本文： | 周东洲,.日内效应、知情交易与市场微观结构——招商银行的例证[J].技术经济,2010,29(6):91-95. |
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| 作者姓名： | 周东洲 |
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| 作者单位： | 华南理工大学,经济与贸易学院,广州,510006 |
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| 基金项目： | 感谢华南理工大学风险投资研究中心资助 |
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| 摘 要： | 本文通过对Engle和Russell模型的扩展,使用我国沪市A股的高频数据,分析了我国股票的市场微观结构。在我国的股票市场中,股票交易存在明显的日内效应,日内效应的产生主要是因为知情交易者的存在,知情交易者通过影响交易量从而加剧了价格的波动。
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| 关 键 词： | 市场微观结构 WACD模型 交易量 价差 |
Intra-day Effect, Inform Trade and Market Microstructure: A Case of China Merchants Bank |
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| Zhou Dongzhou.Intra-day Effect, Inform Trade and Market Microstructure: A Case of China Merchants Bank[J].Technology Economics,2010,29(6):91-95. |
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| Authors: | Zhou Dongzhou |
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| Institution: | Zhou Dongzhou (School of Economies and Commerce, South China University of Technology, Guangzhou 510006, China) |
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| Abstract: | This paper develops the model established by Engle and Russell in 1998,in which adds the factor of market mierostrueture. The data in Chinese stock market has been collect and analyzed in the model. The intra-day effect is evident as there are many informed trader in this market. Informed traders aggravate the fluctuate of price by the volume. |
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| Keywords: | market microstructure WACD model trading volume spread |
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