Dynamics of Intraday Serial Correlation in China's Stock Market.

In this article, we implement the Variance Ratio test to study on the intraday serial correlation of Shenzhen component index return series. The empirical research indicates significant positive serial correlation in China's stock market. For a better understanding of the dynamics of intraday serial correlation in China's stock market, we first investigate the presence of autocorrelation mode of serial correlation. Then, we construct the VR-HAR-RV and VR-HAR-RV-CJ models to explore the links between serial correlation and volatility. We find both the VR-HAR-RV and VR-HAR-RV-CJ models can partially explain the links between serial correlation and volatility, but the VR-HAR-RV-CJ model is more powerful than the VR-HAR-RV model.