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《Contemporary Economy & Management》 2007-01
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Intra-day Periodicity of Fund Market: a Case Study on High Frequency Data in Shenzhen

WEI Li-ya, MA Yong-kai (University of Electronic Science and Technology of China, Chengdu 610054, China)  
By using high frequency data of fund index in Shenzhen Exchange Market, FFF regression, which was put forward by Andersen and Bollerslev in 1997, is first applied to analyze the intraday periodicity of fund index return in Shenzhen Exchange Market. The qualitative analysis of high frequency return indicates that the fund market has the similar periodicity with the stock market, which is analyzed theoretically. And after the intraday periodicity factors are filtered through FFF regression, the high frequency absolute return of fund index doesn't have obvious periodicity any longer. Furthermore, FFF regression works well in determining the intra-day periodicity.
【CateGory Index】: F832.51;F224
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