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Empirical research on persistence of Chinas stock market price using ultra-high frequency data

  • School of Management, University of Science and Technology of China, Hefei 230026, China

Cite this: JUSTC, 2015, 45(5): 422-428
https://doi.org/10.3969/j.issn.0253-2778.2015.05.012
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  • Received Date: December 28, 2013
  • Revised Date: March 24, 2014
  • Published Date: May 30, 2015
    Abstract
  • The persistence of extreme stock prices with respect to its volumes of Chinas stock market was investigated through ultra-high frequency data. Studies show that, Chinas stock prices exhibit a weak reversion within a certain range of post volume after extreme prices appear, which is different from the full reversion of the Western stock markets. A new research method and an investment strategy adapting to Chinas stock market were proposed. Empirical research gave the single return and accumulated return of the strategy, as well as the optimal values of parameters and the inter frequency distributions of extreme prices.
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