On the basis of pre-existing high-frequency time series model and the Heterogeneous Market Hypothesis, this paper constructed the HAR-BACD-V model. Through the empirical analysis to probe into whether different trading frequency investors' trade behavior may have different contribution degree to instantaneous stock market fluctuations and volume may affect trading duration, financial product yields and volatility or not. The empirical results furtherly confirmed the heterogeneity of Chinese stock market, meanwhile, different trading frequency investors' trade behavior have different contributo...
