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Trading duration, mutual funds behavior and stock market shock Based on ACD model to mine mutual funds investment behavior

机译:交易时间,共同基金行为和股市冲击基于ACD模型的共同基金投资行为挖掘

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摘要

Purpose-The purpose of this paper is to explain what information is contained in mutual funds' trading behaviors and to try to further assess the impact on the stock market.Design/methodology/approach-The objective is achieved by an empirical examination using the high-frequency intraday data.The main methods used for the research are the autoregressive conditional duration model and the UHF-GARCH model.Findings-This paper gives an empirical study of mutual funds' behavior on two aspects.The first aspect is the direct impact on micro variables.The results show that mutual funds changing their positions will have different influences to the spread,adding position broadens the spread,while decreasing position makes the spread narrow;,behaviors of funds change the clustering characteristic of the duration.The second aspect is the impact on the relationships among micro variables.The results indicate that trading started by liquidity buyers will make volatility larger.Research limitations/implications-This paper supposes funds as informed traders and individual investors as liquidity traders in China's stock market.If it is not true,some interpretations of empirical results would be wrong.The authors' results may help researchers to understand the information content of funds' trading behaviors in the microstructure aspect.Originality/value-The paper is an originat work,which will be interesting to scholars in market microstructure and to practitioners in the Chinese stock market.The main contributions of the paper are:the use of high-frequency data to study funds' behaviors and combine the trading duration and investors' trading behavior to analyze the information content of trading behaviors;second,the use of 14 stock samples in the Shanghai Stock Exchange to do the empirical study,which ensures the reliability of the results.
机译:目的-本文的目的是解释共同基金的交易行为中包含哪些信息,并试图进一步评估其对股票市场的影响。设计/方法/方法-该目标是通过使用频率日内数据。研究的主要方法是自回归条件期限模型和UHF-GARCH模型。研究结果-本文从两个方面对共同基金的行为进行了实证研究。第一方面是对共同基金行为的直接影响。结果表明,共同头寸的变动对基金的利差有不同的影响,增加头寸会扩大利差,而减少头寸会使利差缩小;基金的行为会改变期限的聚类特征。第二方面是结果表明,流动性购买者开始的交易将使波动性更大。研究局限/启示-本文假设基金是中国股票市场的知情交易员,个人投资者是流动性交易员。如果不是这样,对经验结果的某些解释将是错误的。作者的结果可能有助于研究人员了解基金的信息内容。原始性/价值-本文是一项起源研究,对于市场微观结构的学者和中国证券市场的从业者都将很感兴趣。本文的主要贡献是:高频的使用数据来研究基金的行为,并结合交易时间和投资者的交易行为来分析交易行为的信息内容;其次,利用上海证券交易所的14个股票样本进行实证研究,保证了交易行为的可靠性。结果。

著录项

  • 来源
    《中国金融评论(英文版)》 |2011年第3期|220-240|共21页
  • 作者

    Zhang Zongxin; Zhang Xiao;

  • 作者单位

    Institute for Financial Studies, Fudan University, Shanghai, People's Republic of China;

    Institute for Financial Studies, Fudan University, Shanghai, People's Republic of China;

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  • 正文语种 eng
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  • 入库时间 2022-08-19 04:10:56
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