ACD模型在沪市中的实证研究  

An Empirical Study on Shanghai Stock Market with ACD Model

作　　者：张裕生[1] 王晶[1] 

机构地区：[1]蚌埠学院理学系,安徽蚌埠233030

出　　处：《大学数学》2010年第2期165-170,共6页College Mathematics

基　　金：安徽省高等学校省级自然科学研究项目(KJ2009B213)

摘　　要：在证券交易中,交易持续期反映了市场交易的重要信息,因此对交易者行为具有重要的影响,并且影响到证券市场的流动性.为了检验在交易中交易持续期对交易的影响,本文选择了沪市A股的四只股票,利用由Engle和Russell提出ACD模型对其交易持续期进行了实证研究,讨论了交易持续期的相关性质,表明交易持续期具有明显的日内模式,并检验log-WACD模型与中国证券市场的吻合程度.In the stock exchange, the trade duration reflect the important information about market exchange. So it has great effects on the bargainer＇s behaviors and the liquidity of the stock market exchange. For testing the infection of the trade duration in the stock exchange, the paper chooses four stocks in Shanghai Stock Exchange to study their trade duration with ACD model brought forward by Engle and Russell, discusses the characters related to it , and checks the extent between the ACD model and China Stock Exchange Market. The research shows that the duration have ＂calendar effect＂, and log-WACD model match well with China Stock Exchange.

关 键 词：持续期 超高频数据 ACD模型 

分 类 号：F224.7[经济管理—国民经济]