Research On Intraday Patterns Of Stock Returns

Securities market of China has experienced more than20years since Shanghai Stock Exchange and Shenzhen Stock Exchange was built. Securities industry has made great development during more than20years. Laws and regulations system has become more perfect. At the same time it also encountered all sorts of difficulties. China’s securities market is quite tough. China’s stock market is a new type of market. Compared with foreign mature capital market, it has its unique characteristics. The market is more complicated, more difficult to predict. After the global financial storm in2008, the stock markets were down all the time. Shanghai stock index once fell below2000points. Four years passed, but China’s stock market is still depressed.Market microstructure is an important branch in modern finance. More and more people have paid attention to it after sometimes financial crisis and shocks. It focuses on the study of financial markets asset pricing process and its results, which reveals the microscopic structure of financial asset price formation process.Inventory model and information model are both the two stages of the development of market microstructure. Stock returns can be defined as the characteristics of the market microstructure variables and stock returns have also become the object of many scholars. Using high frequency data to study the yield of the Chinese stock market intraday mode, you can understand the changes in the full trading days yields. Stock prices can provide investors with investment recommendations and provide the basis for policy-makers. So intraday stock returns mode research has practical significance.126stocks are selected representative as the sample period from June2012to February2013that the stock price every30minutes as the object of study using panel model to study the Chinese stock returns intraday mode. It comes to the mode of China’s stock market days "W" type that current negative correlation between stock returns and its pre-yield.Intraday pattern of the stock market performances many forms. Trading spreads and order flow imbalance as two new factors have been proposed. With the rapid development of electronic information network, stock market trading data of these two factors can also been calculated. How these two factors impact, I believe it will become a hot spot intraday patterns in stock returns.