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가격 지속성과 시장미시구조 효과: 중국 주식시장 실증 분석연구

Title
가격 지속성과 시장미시구조 효과: 중국 주식시장 실증 분석연구
Other Titles
Price duration dynamics and microstructure effects: an empirical test in Chinese stock market
Author
이연홍
Alternative Author(s)
LI, YANHONG
Advisor(s)
이상빈
Issue Date
2016-08
Publisher
한양대학교
Degree
Master
Abstract
본 논문은 중국 주식시장의 가격 지속성을 모델링 함과 동시에 관측 가능한 변수들의 시장미시구조 효과를 검토하고자 합니다. 이런 변수에는 스프레이드, 볼륨, 거래밀도 등이 있습니다. 분석을 함에 있어서 데이터는 바이렌 회사의 A 주식과 B 주식의 HFT(High Frequency Trade) 데이터를 사용하였고 모델은 Bawens와 Veredas가 2004년에 제기한 SCD(Stochastic Conditional Duration)모델의 수정버전, 즉 위에서 언급한 관측 가능한 변수들을 전이 방정식에 외생변수로 추가하여 사용하였습니다. 파라미터의 추정은 칼만필터와 QML(Quasi Maximum Likelihood)을 통해 완성됩니다. 그리고 A 주식과 B 주식의 추정결과에 대한 비교분석을 통하여 중국 주식시장의 미시구조를 진일보 파악 하고자 합니다. 핵심 주제어: 중국 주식시장, 시장 미시구조, 가격 지속성, SCD 모델 | The main purpose of this paper is to model the price process and test some hypotheses about market microstructure by investigating the relation between price durations and other observed market variables for the A share and B share. I apply the stochastic conditional duration (SCD) model for the analysis of price durations with spread, trade intensity and volume as exogenous variables. The estimation of the parameters is performed by quasi-maximum likelihood and using the Kalman filter. Then a comparison between the A share and the B share is made to gain some insight into the market microstructure of Chinese stock market. Keywords: Chinese stock market; Market microstructure; Price duration; SCD model; The main purpose of this paper is to model the price process and test some hypotheses about market microstructure by investigating the relation between price durations and other observed market variables for the A share and B share. I apply the stochastic conditional duration (SCD) model for the analysis of price durations with spread, trade intensity and volume as exogenous variables. The estimation of the parameters is performed by quasi-maximum likelihood and using the Kalman filter. Then a comparison between the A share and the B share is made to gain some insight into the market microstructure of Chinese stock market. Keywords: Chinese stock market
URI
https://repository.hanyang.ac.kr/handle/20.500.11754/126269http://hanyang.dcollection.net/common/orgView/200000486551
Appears in Collections:
GRADUATE SCHOOL[S](대학원) > BUSINESS ADMINISTRATION(경영학과) > Theses (Master)
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