基于超高频数据的我国股市价格持续性实证研究  

Empirical research on persistence of China's stock market price using ultra-high frequency data

作　　者：王利斌[1] 方兆本[1] 

机构地区：[1]中国科学技术大学管理学院,安徽合肥230026

出　　处：《中国科学技术大学学报》2015年第5期422-428,共7页JUSTC

摘　　要：通过超高频数据研究了我国股市个股的异动价格在成交量上的持续性.研究表明,股票异动价格出现之后,不同于西方证券市场的价格完全回复,我国股市价格在一定的事后成交量范围内呈现较弱的回复特征.基于此提出了一种新的研究方法和一种适用于我国股市的投资策略.实证给出了这种策略的单次收益和累积收益,最优参数值和异动价格日内频率分布.The persistence of extreme stock prices with respect to its volumes of China’s stock market was investigated through ultra‐high frequency data .Studies show that ,China’s stock prices exhibit a weak reversion within a certain range of post volume after extreme prices appear ,which is different from the full reversion of the Western stock markets .A new research method and an investment strategy adapting to China’s stock market were proposed .Empirical research gave the single return and accumulated return of the strategy ,as well as the optimal values of parameters and the inter frequency distributions of extreme prices .

关 键 词：超高频数据 微观结构 持续性 多空策略 

分 类 号：F832[经济管理—金融学]