【摘要】 本文基于股票市场的高频数据,提出了一个股票收益率和持续期的联合模型。与传统模型中对两个变量分别进行分析不同,通过对收益率和持续期的联合分析,增强了估计和推断的准确性,提高了模型拟合数据的能力。通过将模型运用于中石化的股票实时交易数据中,发现中国金融市场有着明显的日间周期性特征,而这些特征跟市场的信息流以及投资者的避险行为相一致。另外,本文的实证结论在中国股市上还回答了市场微观结构中的很多重要问题。更多还原

【Abstract】 We propose a new joint model of intraday returns and durations to study the dynamics of the Sinopec stock.Flexible innovation distributions are used for durations and returns,and the total variance of returns is decomposed into different volatility components associated with different transaction horizons.In our empirical study,we find strong diurnal patterns.We also verify many market microstnicture theories such as longer duration induce lower volatility and duration surprise cause high price change.更多还原