A Study on the Intraday Effect in Shanghai Stock Market

Through the study of five-minute absolute return data of Shanghai Stock Exchange (SHSE) in 2000 and 2001, a U-shape effect of intraday return in SHSE is concluded and an analysis of the relationship between the model and microstructure of stock market in China is suggested. Then a Flexible Fourier Forum model for the intraday volatility is established with its parameters calculated. Compared with the historical data, the model matches the U-shape curves with narrow difference.