日內交易頻數(shù)、平均交易規(guī)模和收益波動關系的實證研究.pdf

1、華中科技大學碩士學位論文日內交易頻數(shù)、平均交易規(guī)模和收益波動關系的實證研究姓名：陳安琪申請學位級別：碩士專業(yè)：金融學指導教師：歐陽紅兵20080531IIABSTRACT The chinese stock market is one of the emerging equity markets, which has unique characteristics compared to the foreign capital marke

2、ts. The stock price fluctuates violently and frequently. The negative effect of the high volatility in the market should draw more attention. This thesis is focused on the research of volatility and transactions, finding

3、 the evidence that transactions influent volatility. We hope that the research of this thesis would help to understand our security markets more deeply. The paper applies SSE Constituent Index to examine the relation bet

4、ween return volatility, average trade size and the frequency of transactions. Contrary to Jones, Kaul and Lipson(1994)'s reserch, we replace high-frequency data of daily data, GMM of OLS, and amend the model, which l

5、ead to a different result: average trade size has a strong positive relationship with return volatility, that is average trade size contains important information for return volatility. In addition, we also have 180 sha

6、res divided into three groups, respectively, by frequency of trading, the trade size and market value, and introduce the slope dummy variables at the open and closed. This analysis of stocks in different groups and diffe

7、rent hours, are focused on the intraday transactions and return volatility. The results are: (1) The positive relation between return volatility and average trade size or the frequency of transactions is more significant

8、 for the average frequently, size and middle market value traded stocks. (2) And the effects between them are basicly decreasing with the trade size, the frequency of transactions and the market value. (3) The significan

9、cy and the effects are highly different between open and closing quotation. (4) High frequency of transactions is usually accompanied by more information in the open quotation. Keywords: trade size trade frequency ret