Research On The Influence To The Stock Return By Sample Stocks In SSE50 From Market Microstructure Effects

In recent decades,with the deepening of reform and opening-up,the capital market of China is also developing rapidly.The fluctuation of stock prices has become a growing concern of billions of shareholders.However,the maturing fundamentals analysis technology can not fully explain the change of the stock return,and the existence of "stock market anomaly" is also thought-provoking.Then,besides fundamentals analysis,how can we explain the changes of the stock price and the stock return? Is there truly an "invisible hand" in the stock market to control the change of the stock return? On this basis,the market micro-structure theory is put forward.To what extent does the effect of the market micro-structure can explain the change of stock returns has become an increasing concerned topic for financial scholars.Based on the daily high-frequency data from SSE 50,this paper empirically studies how the feedback mechanism of the market micro-structure effect affects the change of the stock return.The research contents of this paper can be divided into three levels: Firstly,it studies the mechanism through several models of the market micro-structure theory,that is,how the theory of market micro-structure works;Secondly,based on the real high-frequency data,21 stocks in SSE 50 index are selected as samples in the high-frequency data of the year-round Trading in 2015.The arrival of order flows is the medium to study the effect of some order information on the stock return rate;Thirdly,the empirical results of two parts are compared and analyzed to evaluate whether the feedback based on the order flow information really exists and whether the information effect and inventory effect in the market microstructure have a significant impact on the stock return rate.Through the research,the following conclusions are drawn: Firstly,without considering the fundamental analysis,the influence of market micro-structure theory does exist in the secondary stock market of China,the order flow information of the secondary market is taken as the intermediate variable,and the return of the corresponding stock can be affected by the information effect and inventory effect.Secondly,information effect and inventory effect play a decisive role in the effect of market microstructure.The empirical results show that the market microstructure effect has a much stronger explanation for the stock price return than the quotation return.The information effect and inventory effect in the market microstructure theory have a significant impact on the stock return.