交易机制与短期收益的波动  

Trade Mechanism and Fluctuation of Income of Short-Term

作　　者：汤光华[1] 周伟 

机构地区：[1]中山大学管理学院 [2]广东省交通集团

出　　处：《统计研究》2005年第7期71-74,共4页Statistical Research

基　　金：教育部人文社会科学研究项目(编号:02JA720061)的研究成果之一。

摘　　要：Based on the time-adjusted returns, we empirically study the effects of both call action’s and continuous action’s exchange regulations on the volatility of short-term returns in the Shanghai Stock Exchange. We find that open-open returns exhibit more volatility than close-close returns, and trading period returns are more volatile than non-trading period returns. The previous close price has more relationship to the next open price than the open price to the close price in the same day. The close-close return conforms with partial adjustment hypothesis.Based on the time-adjusted returns, we empirically study the effects of both call action＇ s and continuous action＇s exchange regulations on the volatility of short-term returns in the Shanghai Stock Exchange. We find that open-open returns exhibit more volatility than close-close returns, and trading period returns are more volatile than non-trading period returns. The previous close price has more relationship to the next open price than the open price to the close price in the same day. The close-close return conforms with partial adjustment hypothesis.

关 键 词：交易机制 短期收益 证券交易机制 证券市场 中国 

分 类 号：F832.5[经济管理—金融学]