Stock Price Behavior Of Financial Econometric Research

In recent decades years, Chinese economy has been a bright sight in the world economy. At the same time, Chinese stock market has made great development. However, there are many unharmonious phenomena in the performances of the' Chinese stock market. The specific economic background in which China is transferring from the plan economy to the market economy, and the development and accumulation of the western financial econometrics techniques and methods and those empirical application, all provide very valuable soil and tools, by which we can analyzes the price behavior of Chinese stock market. What are the statistical characteristics of Chinese stock market price behavior? Which principles do the price dynamic behaviors follow? What is the relationship between the Chinese stock price and the real economy? Which processes and models does the determination and discovery of the Chinese stock price follow? Etcetera. Because those questions not only come from the practice, but also have great theoretical significance, they are the cores of this dissertation, which examines those issues from a number of perspectives.With the comprehensive research on the foreign and domestic literature on stock price behavior, under the context in which our Chinese listed companies and investors are in the transition of Chinese economic system, with the tools of the western financial econometrics techniques, based on the relavent data from the Chinese stock market, this dissertation focuses on the empirical and theoretical research on the Chinese stock market price behavior, and analyzes the stylized facts in Chinese stock markets, at last advances some policy advices on the development of Chinese stock market.The fundamental methods in this dissertation are the techniques from the financial econometrics and the guiding modeling methodology. Besides, various methods are employed in the research process of this dissertation, including the combination of theoretical and empirical analysis, positive and normative analysis,historical and logical analysis, quantitative and qualitative analysis. In this process, a good many of tables, figures and diagrams are also used in this dissertation.There is plenty of information included in the stock market prices, and the stock market prices are concerned with many aspects of the working of the stock market. This dissertation empirically examines the main stylized facts in Chinese stock prices behavior, and makes empirical researches on the determination or discovery of mechanism and theory of stock prices. This dissertation contains eight chapters:The Chapter One is the introduction part, comprising the advancing and defining of the question, a brief retrospect on the history and status quo of the study on the stock price behaviors. In the last, this chapter presents the whole thought way, research methods, the basic structure and main results and innovations.The section from the Chapter Two to the Chapter Four focuses on the static and dynamic statistical characteristics of Chin+ese stock prices. Based on the relevant theoretical research, the Chapter Two, on the static statistical characteristics of Chinese stock prices and returns, examines the statistical characteristics of the price index and the index returns, the statistical distribution of the impact of the trading price discreteness on the stock prices and returns, and the empirical research on the "compass rose" in the 2-dimension history in Chinese stock market. Our study suggests that the statistical distributions of the returns, of the price changes for tick data in a day or between days, are similar to the overseas stock markets. The discreteness can result in the phenomenon of price clustering, but the pattern is different from the phenomenon in NYSE. This chapter also documents the "compass rose" in Chinese stock returns, which is a universal phenomenon.Chapter Three, on the autocorrelation and cointegration in Chinese stock market, mainly explores the dynamic characteristics of Chinese stock price behavior, including the correlation,...