Study On Modeling Of Execution Risk In Stock Market Of China

There are special particularities in the stock's structure and mechanism in the stock market of China, which is an emerging market. These particular phenomena imply that there is very serious asymmetry information in our stock market, which must lead to inverse selection of liquidity traders and informational traders. So the researches on different field of Chinese stock market should be set up the presupposition of asymmetry information. On the basis of the fact of asymmetry information in the stock market, this dissertation researches the characteristics of price behavior and the relationship between volume and price volatility from theoretical and empirical evidence.1. The decomposing and modeling of intraday volume for large security positions based on VWAP benchmarks in Chinese stock market are studied in this paper. The paper investigates that there are many factors having an impact on intraday volume, the results show that in Chinese stock market, common factors play an important role on the impact of volume. And the SETAR model that the paper present has the better performances on the estimation accuracy and implementation of VWAP strategies2. The significance of study on liquidity risk management is first discussed. Literatures are reviewed from six aspects which are measurement of liquidity, measurement of liquidity risk, strategy of order submission, optimal execution of transaction and liquidity management of fund change. The existing problems are also pointed out. In the last section, directions of future researches are given.3. The structure mode, which researches intraday price discovery under the asymmetry information condition, is introduced and the intraday high frequency transaction data are utilized. The concludes indicate that public information, asymmetry information and liquidity cost all show U or L model price volatility behavior during the transaction day, and price volatility in small scale stocks inducted by asymmetry information is nearly five times than large scale stocks. In addition, to all the stocks in our market, it is public information but asymmetry information that is the most important factor with the largest proportional in all which affects price volatility.