Analyzing the Dealing Heterogeneity in Traders: Evidence from the China Stock Market
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.
Heterogeneous Market Hypothesis Market components Realized volatility HAR-RV model China Stock Market tick-by-tick data.
Ping Li Yong Zeng Wei Zhang
School of Management University of Electronic Science and Technology of China
国际会议
成都
英文
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）