摘要/Abstract

国内基于高频数据对股市日内模式的研究起步晚且研究相对较少。针对现有研究只从反应股票市场质量的某一方面特征，且未剔除日间效应影响的问题，从反映市场质量的流动性、波动性和有效性三方面特征出发，选取买卖价差、市场深度、交易量、收益和收益波动5个市场变量，对数据进行均值调整剔除日间效应的影响后，采用GMM估计检验我国股市的日内模式。检验得到上海股市买卖价差、交易量、收益和收益波动具有显著的日内模式，日内模式形态分别为“L”、不对称“U”、“U”和“L”型，市场深度不具有显著的日内模式，检验结果表明由于信息不对称等

Based on high frequency data, domestic research on stock market intraday pattern started late and relatively few. For the problems of study only involved one aspect of the quality characteristics of stock market, and not eliminating the impact of interday effect, this paper took liquidity, volatility and effectiveness, the three quality characteristics of stock market, into account by selecting five market variables: bid-ask spread, market depth, trading volume, return and return volatility; and used GMM estimation to test intraday pattern after eliminating the interday effect’s impact by mean adjustment. Results are that the bid-ask spread, trading volume, return and volatility of return have significant intraday pattern, which are “L”, asymmetric “U”, “U” and “L” shape respectively, but the depth of the market do not have. Test results show that due to the existence of asymmetry information and other factors, the Shanghai stock market is weak efficient market.