学术动态

Mei-Yuan Chen | Information Heterogeneity in the Morning and the Afternoon Cumulative Intra-day Returns of SSE 50 Index

时  间:2019年3月8日(周五)上午10:00-11:00

地  点:中北校区理科大楼A1716报告厅

题  目:Information Heterogeneity in the Morning and the Afternoon Cumulative Intra-day Returns of SSE 50 Index

报告人:Mei-Yuan Chen 教授  Department of Finance National Chung Hsing University

摘  要:

The information contained in the intra-day prices of financial assets is  getting more and more emphasized in finance and big data analysis  science. The daily 4-hour trading time of Shanghai stock market in China  is separated into morning trading from 09:30 to 11:30 and afternoon  trading 13:00 to 15:00. Financial data often take the form of a  collection of curves observed sequentially over time. An example of  which includes intra-day stock price curves and intra-day volatility  curves. These curves can be viewed as a time series of functions  observed at an equally spaced and dense grid. The nature of  high-dimensional data poses challenges from a statistical aspect due to  the so-called curse of dimensionality, but it also poses opportunities  to analyse a rich source of information for better understanding dynamic  changes at a short time interval. In this paper, we study the whole-day  1-minute cumulative intra-day returns (CIDR) should be considered as a  function or two functions of the morning and the afternoon trading time.  This is an indirect evidence of the information heterogeneity in SSE 50  if two functions should be considered. To have robust results, the  stationarity of CIDRs is checked for the whole-day, morning, and  afternoon trading time with the test suggested by Horv´ath, et al.  (2014) first. Given the confirmation of stationarity for CIDRs of three  trading time, we detect the equality of functional distributions of the  morning and afternoon CIDRs with the test suggested by Pomann, et al.  (2015). Our empirical results suggest that the CIDRs of SSE 50 should be  considered as two functions since the equality of functional  distributions is rejected statistically. We conclude that there exists  the information heterogeneity between the morning and the afternoon  trading time of SSE 50.

发布者:张瑛发布时间:2019-02-26浏览次数:51