物理学报2017，Vol.66Issue(12)：24-35,12.DOI:10.7498/aps.66.120203
基于上证指数高频数据的中国资本市场微观特性研究
Microscopic characteristics of Chinese capital marketbased on the high frequency data of Shanghai composite index
摘要
Abstract
This paper mainly uncovers the typical microscopic characteristics of Chinese capital market in three different stock price stages of rising, steady and falling based on the high frequency data of Shanghai composite index. Firstly, by analyzing the probability distribution of the Shanghai composite index in different time intervals, we clearly find that the logarithmic change of the index presents an obvious heavy tail feature as well as non-Gaussian Levy distribution, and the return series converges to a normal distribution with the increase of the time interval, which becomes more significant especially in the falling stage of stock prices. Secondly, by calculating the autocorrelation function, we observe that unlike the return rate, the fluctuation ratio of Shanghai composite index demonstrates remarkable long memory volatility witha periodicity of about 240 min, and the autocorrelation curve in falling stage is much higher than in rising and steady stages. Thirdly, in the multi-fractal structure, the volatility of return series has significant short-term and long-term differences among three different stages of rising, steady and falling due to the effects of time limitation and liquidity of investment. Finally, the macroscopic behavior of the Shanghai composite index is relatively consistent with that of the international mature stock market, however, the corresponding microscopic characteristics demonstrate significant differences due to the fact that the Chinese capital market is strongly dependent on the macroeconomic policy, investor sentiment, and liquidity levels. It is quite remarkable that the tail distribution of mature stock market is much fatter than that of Chinese stock market because of the special control and limit mechanism of stock prices in China, which finally causes the considerably lower amplitude of price fluctuation. Moreover, it is also found that the attenuation speed of the autocorrelation function in the Chinese capital market is obviously slower than that in the mature stock market, which suggests that the behaviors of investors in Chinese stock market are more likely to be influenced by the historic exchange information. At the same time, the periodicity of autocorrelation function is actually caused by the inertia recoil of investors, which further verifies the information asymmetry of Chinese stock market. Especially, by changing the starting values of the samples, we find that the periodicity of autocorrelation function still remains the same, which indicates that the periodicity characteristic of stock price is not dominated only by the intraday pattern of rading activity. Therefore, the investors should discover the underlying rules of high-frequency data and extract more useful knowledge in order to guide their investment decisions more effectively.关键词
资本市场/微观特性/上证指数/高频数据Key words
capital market/microscopic characteristics/Shanghai composite index/high frequency data引用本文复制引用
唐振鹏,陈尾虹,冉梦..基于上证指数高频数据的中国资本市场微观特性研究[J].物理学报,2017,66(12):24-35,12.基金项目
国家自然科学基金(批准号:71573042, 71171056)和福建省社科基金青年博士项目(批准号:FJ2016C200)资助的课题. Project supported by the National Natural Science Foundation of China(Grant Nos. 71573042, 71171056)and the Society Science Foundation for Young Ph. D. of Fujian Province, China(Grant No. FJ2016C200). （批准号:71573042, 71171056）
