利用CARR模型对中国股市进行日内波动率预测

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

Asia-Pacific Journal of Accounting & Economics Pub Date : 2022-03-30 DOI:10.1080/16081625.2022.2054435

Chunchou Wu, Wen Xu

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引用次数: 1

摘要

摘要本研究主要利用基于区间的CARR和CARRX模型，探讨午休和隔夜时段非交易效应对中国两个股票市场波动变化预测的影响。我们发现第t-1天收盘价与第t天开盘价之间的绝对值差能够显著地预测早盘的波动率变化。午休期间的价格波动幅度和上午交易时段的成交量变化百分比与下午交易时段的波动率呈正相关关系。

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Volatility forecasting using intraday information with the CARR models for the China stock markets

ABSTRACT This study mainly focuses on utilizing the range-based CARR and CARRX models to explore the non-trading effects during the lunch break and overnight periods in volatility changes forecasting for the two stock markets in China. We find that the price difference in absolute values between the close price in day t-1 and the open price in day t are able to predict the volatility change in the morning trading session significantly. The price range during the lunch break and the trading volume change percentage in the morning session appear positive correlation with the volatility in the afternoon trading session.

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来源期刊

Asia-Pacific Journal of Accounting & Economics Multiple-

CiteScore

2.40

自引率

9.10%

发文量

期刊介绍： The Asia-Pacific Journal of Accounting & Economics (APJAE) is an international forum intended for theoretical and empirical research in all areas of economics and accounting in general. In particular, the journal encourages submissions in the following areas: Auditing, financial reporting, earnings management, financial analysts, the role of accounting information, international trade and finance, industrial organization, strategic behavior, market structure, financial contracts, corporate governance, capital markets, and financial institutions. The journal welcomes contributions related to the Asia Pacific region, and targets top quality research from scholars with diverse regional interests. The editors encourage submission of high quality manuscripts with innovative ideas. The editorial team is committed to an expedient review process.