Based On The Research On Transaction Duration Of Market Microstructure

The stock market is the main carrier of capital market in the modern economy and the development of all kinds of institutional investors is rapid in recent years. Learning of the experience from many stock markets in other counties, the market share of institutional investors is expanding gradually. This is an inevitable trend, so the function of institutional investors cannot be ignored. In the past10years of China, securities investment funds, which is a representative of the institutional investors, is developing rapidly. They are going to be the main body of the investors in the stock market.In the area of the market impact from mutual funds behavior, many study using low frequency data. But in China, the holding periods of mutual funds are shorter, the study results from low frequency data deserve to doubt. Therefore, using the high frequency data, which has no information loss, to study the mutual funds behavior is more suitable.The traditional thinking of modeling trading duration is using the high frequency data mining method to find some relationships among micro variables, but not using the trading behavior or event information to dig out the characteristics of duration.This paper uses mutual funds’trading behavior to explain what information is contained in these behaviors and try to further dig out the impact on the market. This paper gives an empirical study of impacts of the mutual fund’s behavior on there aspects:the impact of intra-day effect; the impact of market liquidity; the impact of Market Microstructure variables and the relationships of these variables.These are the main results of this paper:The first aspect is the impact of intra-day effect. I found that the behavior of mutual funds adding or cutting their position will reduce the trading duration and increase the trading volume. This can be an argument of information trader. Mutual funds change their positions will have different influence to the spread, adding position broadens the spread, while decreasing position makes the spread narrow.The second aspect is the impact of market liquidity. The behavior of mutual funds will change the market liquidity in different aspects. Adding position can improve the instantaneity of the market liquidity and cutting position can improve both the instantaneity and the width of the market liquidity. The third aspect is the impact on the micro variables and the relationships among micro variables. I found that the action of changing position can weaken the clustering characteristic of the duration. This can be a evidence of information trader. I also found that mutual fund can make the market more stable while individual investor may increase the volatility of market. Finally, the actions of mutual funds do not change the relationship among duration, spread and volume.