Chinese Stock Market Price Behavior Of Empirical Research

After 20 years development, the China's stock market has made great contributions to broaden the financing channels for China's enterprises at home and abroad, to enrich the variety of selections of most investors, and to foster China's economic development. But 20 years is short after all, so the development of China's stock market is still in the initial stage, and there are a lot of shortcomings and deficiencies in the construction of the stock market system. In particular, the stock market entities, investment institutions and ordinary investors are still immature, unaware of the market price behavior relevance, and can not grasp of the laws of the stock market operation and price fluctuations.CNOOC made huge losses of up to 5.5 billion in the world oil futures markets, so did the China Investment Co. Ltd in the Blackstone in the U.S., and China bought huge U.S. treasury bonds and is trapped in a dilemma. These situations have resulted from lacking of grasping the correlation of capital markets, and from not inadequately knowing the characteristics of the price behavior and its change laws.Based on this,this dissertation does not intend to directly do some research on these crises and losses, but execute positive research from the roots of them, namely the relevance of stock market prices. We try to find the relationship between the representative indexes of the stock market of the U.S., Japan, Hong Kong China and China, explore the relationship between China's most representative stock market indexes and macroeconomic variables, the stock plates and super stocks and their change rules, and study the relevance characteristics and change rules of China's stock market prices. From doing so, we can provide a new perspective to smooth the operation of the stock market and regulate the capital market price, and also empirical references to help the investment institutions to invest overseas capital markets, help the majority of ordinary investors to explore the risk-free arbitrage trading strategies and models.In order to achieve the original intention, we use some simple and practical traditional methods such as data mining, comparison and simple regression, and the relevance test methods that is mathematically defined and creatively presented and used in this paper. We have done some empirical and theoretical research on the relevance of the Chinese stock market price behavior. The study is designed to make contribution to innovate and deepen the behavioral finance theories methods and the usage. We also make some research on the anomalies in market stock price, and try to find the relevance and rules of behavioral characteristics in the stock market, so we can discuss non-risk arbitrage trading patterns and strategies, and reached the following conclusions:Firstly, although there is not strong correlation between China A-Share Index and the Hang Seng Index, the Nasdaq China Index, the Dow Jones Industrial Average, S & P 500, here is strong relevance between these indexes. If this relevance is used to risk-free arbitrage, net rate of return will almost beat all the public funds and index funds. Secondly, the majority of the stock market players and investors distribute wealth among a variety of investment instruments. If the stock market fell to a certain extent, investors will increase investments in the stock market, which will successfully prompt the stock market down to its bottom, and to seek an upward breakthrough. From observing quantitative relationship between the quasi-money (M2-M1) and the total value of stock market, we can find that in a relatively short period, the ratio of quasi-money to the total market value of Shanghai stock market is used to observe the phased bottom of stock market, and the threshold of this ratio is approximately equal to 3. Thirdly, there is relevance between the changes of GDP growth rate and the changes of the Shanghai stock index, and when the change of GDP growth rate is greater than 20%, it will have a decisive impact on breaking the top and bottom of the index tend. Fourthly, the changes of the overall tone of the central economic work conference and the market valuation level have important influence on the future performance of the stock market. In particular, whether the monetary policy is loose or tight will have a greater impact on stock market movements. The loose or prudent monetary policy will create good atmosphere to the market. On the contrary, the tight monetary policy will bring a test to the stock market. Fifthly, the statistical analysis on 20 years of historical data of the Shanghai Composite Index reveals that there is a significant holiday effect in China's stock market. Sixthly, through auto-regression models, we make the unit root test for all stock plates, and find that time series of forty eight plates are stationary, and the coefficients of correlation and elasticity between them and the CSI 300 index are of great difference. When the CSI 300 index is in the rising channel, you can choose to configure the stocks of the stock plate with high coefficient of elasticity into the stock pool, and you will probably get a higher profit. When the upward force of stock grail disappears, you should select stocks of stock plate with small coefficient of elasticity, such as hydropower, farm equipments, liquor industry sector, and these stocks will help you to control risks. Seventhly, in the long run, stock plates undervalued by the market will be exhumed sooner or later, and will go out of the compensatory growth. The investments tend to cause average results of investments, that is, to promote a "winner-loser effect"presenting in the stock market. Eighthly, the speculation degree is much larger than the investment degree in China's stock market, so in the short term the growth rate of the companies and the price changes of the stocks do not appear to be directly related, but is relevant to some extent. It is revealed that investment philosophy of value in China's stock market is not deeply embodied in the investment practice of investors. The stock market is full of market sensationalizations and speculations involving growth of performance, dividends, asset injections, holistic listing, and so on.Because of the limits of the sample data and research time, this paper can not act on all levels of relevance and the laws of the price behavior of China's stock market. Even in the research carried out, there are also many shortcomings and deficiencies which will undoubtedly form the issues to be further researched. For example, we can study the relevance between the representative stock price indexes of overseas capital market and the stock price indexes which reflects the movements of China's stock market. We can use tools of game theory and other theories to analyze more representative behavior of the stock market prices under different market conditions. We can also do more broad empirical research and case studies on the relevance of leading stocks, super stocks, and stock grail.