Research On Intraday Features Of CSI-300 Index Constitutes Under The Background Of China’s A-share Market Skyrocketing And Crash

This paper employs an aggregate 5 min high frequency data on CSI-300 index constitutes to undertake a fresh empirical investigation of key stock market variables of trading activity and liquidity under the background of China’s A-Share market skyrocketing and crash.We are able to confirm the L-shaped pattern of intraday return volatility.The aggregate trading volume exhibits a somewhat reverse J-shaped intraday pattern,while the bid-ask spreads displays a reverse L-shaped pattern.The L-shaped intraday pattern of return volatility is due to the accumulation of information impact and adjustment of decision making for portfolio.In this paper,the year 2015 is divided into three stages.For the three stages,a major bump found in the intraday volatility pattern following the inraday auction at 13:05 will firstly increase and then decrease,which phenomenon is consistent with the month series.For the difference of call auction between the Shanghai Stock Exchange and Shenzhen Stock Exchange,the intraday pattern of the aggregate volume for Shenzhen Stock Exchange exhibits a “reverse tick” characteristics at the close.Then we guess that the reverse J-shaped intraday pattern may be produced by the differences between opening and closing call auction features and the function of call auction at opening and closing is opposite to its effects.And then the “Range” indicator is designed to complete the verification.This paper argues that one of the reasons for the reverse L-shaped patterns of bid-ask spreads is the game between market orders and limit orders.The raw average returns of the CSI-300 index constitutes are filtered from the intraday seasonalities using Flexible Fourier Form(FFF)transformation.The contemporaneous and lagged bid-ask spreads have a statistically significant positive effect on return volatility,so do the lagged expected trading volume.Including the bid-ask spreads and trading volume as the exogenous variables or proxy for informal arrival into the conditional volatility equation does not explain the well known volatility persistence in intraday stock returns.