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Study On The Influencing Factors Of Chinese Stock Market Volatility

Posted on:2004-07-27Degree:DoctorType:Dissertation
Country:ChinaCandidate:X L JiangFull Text:PDF
GTID:1116360122982168Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
Research on securities market volatility has been the main issue in the field of modern financial research for a long time. The securities market volatility is one of the most concernful measurement indexes of the supervisory authorities about the stock market. Based on the modern finance theory (such as CAPM, APT, BS), the volatility is the core of the function of securities market, which is price discovery and capital allocation. The volatility is tied up with the other indexes such as liquidity, transaction cost and information flow, which reflect the securities market quality and efficiency. So, the volatility describes the securities market price behavior in an integrated way, and is one of the most effective indexes reflecting of the quality and efficiency of the market. On the other hand, the volatility is correlative to enterprise investment, financial leverage decision, consumer's behavior, business cycle and macroeconomic variables. So, through investigating on the characteristic and influencing factors of the volatility, we can apprehend the price behavior and the realization of functions in the securities market. The research content and conclusions can be outlined as follows. (1) The volatility of Chinese stock market is estimated based on the stochastic volatility model and Bayesian analysis using MCMC. Empirical results on Chinese stock market indicate that stochastic volatility model outperforms the ARCH model in capturing the heteroskedasticity and serial correlation of volatility of the stock market returns. (2) From the view of returns and volatility, the policy influence on the volatility of Chinese stock market is analyzed based on the CGARCH model. The results indicate that there exists dynamics transitory volatility in the Chinese stock market, and also the time varying long run volatility. The abrupt change of the transitory volatility was always caused by policy interference. And at the same time, the interference interrupted mean reversion process of the long run volatility (the decreasing process of the volatility), caused long run volatility turned around to a higher permanent volatility. The abrupt change of the volatility in mature market was always rooted in the changes of the macroeconomic variables, but policy interference was the efficient amse of the abrupt changes of the volatility in Chinese stock market. (3) The paper investigates the long run influencing factors of Chinese stock market volatility and the relations between the volatility and the macroeconomic variables, which include the relation between the stock market volatility and business cycle and the relation between the tock market volatility and macroeconomic variables volatility. The results indicate that the relation between the Chinese stock market volatility and the real economy is distorted, and the leading indicator effect of the stock market is not obvious. (4) The transitory influencing factors of Chinese stock market volatility and the relation between the volatility and trade volume is investigated in the paper. The results indicate that trade volume can explain persistence of Chinese stock market at a certain extent. Unexpected trade volume explains the transitory volatility better than expected trade volume. But the results also indicate that there exist idiosyncracy in Chinese stock market compared with the foreign mature market and the theory model. There are prodigiouss difference among the different stocks, and between the single stock and the stock index. Considering that the relation between the trade volume and volatility actually reflects the mechanisms of information disclosure, information transition, and evaluation and assimilation of the information in the stock market, this idiosyncracy of Chinese stock market perhaps is rooted in the information process mechanism. (5) The relation between behavior of traders and stock market volatility is investigated based on the information asymmetric model. The results indicate that the private information trading...
Keywords/Search Tags:Volatility, Policy driven market, Macroeconomic factors influencing on volatility, Relation between trade volume and price, Private information trading
PDF Full Text Request
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