Research On Major Factors Affecting Volatility Of Stock Index In China

Nowadays, the stock market plays a more and more important role in economic transformation in China. However, the function of stock market in China is greatly restricted currently, which leads to the stock index falling down, unstable stock market financing, and IPO stop time to time. Over these years, the stock market in China has provided investors with more and more smaller return. Based on the research of relationship between stock market and economy, currency, and stock market system, figure out the systematic risk of stock market in China and the real reason why the stock index features large fluctuation and little profit. Check whether the system other than the policy or economy greatly affects fluctuation of stock market in China, to uncover the key factor affecting fluctuation of stock market in China. In addition, making full use of functions of stock market in China is greatly significant for economic transformation.This thesis systematically analyzes factors affecting fluctuation of stock index in China, describes uniqueness of the stock market in China under its emerging and transforming background in terms of its historical development, figures out related factors including short-term triggering factors and long-term affecting factors, to further determine which one is the essential and key factor. Finally, put forward policy suggestions according to the key factor.Firstly, the thesis summarizes the development track of stock market in China in terms of its historical development. By comparing the performance of Shanghai Composite Index of A-share market in China and DJIA of stock market in USA, find out similarities and differences between them. Figure out special problems of fluctuation of stock market in China, and describe the particularity of stock market in China under emerging and transforming background.Secondly, based on the above findings, economic and currency policies, stock market systems, and data related to stock market, perform the research with solid evidences using the following three analysis methods.(1) Verify the relationship between the stock index and economic policies, currency policies, and stock systems respectively using single factor analysis method. By comparison, the research result shows that the economy in China has relatively little impact on stock market operation, with currency policies of larger impact and stock market systems of largest impact.(2) Based on multivariate analysis, put indexes indicating the economic policy, currency policy and stock market system into VAR model, to research the degree of impact of each factor on stock market under multiple variables. The model shows that the financing amount (that is, the variable indicating the system) has a great impact on fluctuation of stock index. Through variance decomposition, it shows that the financing amount has the greatest impact on fluctuation of stock index, and then comes to the currency policy. Therefore, the system among the above three factors has the greatest impact on stock market operation;(3) Based on the tool of Chow Test for major events, research the impact on fluctuation of stock index in terms of stock market systems and policies. It turns out that the system still has the greatest impact on fluctuation of stock index. Through researching rules of issuing, delisting, and merger among stock market systems, further describe how systems affect fluctuation of stock market in China. The distortion of system design leads to particularities on fluctuation of stock index in China, which features long term falling down index, fluctuation abnormality, small proportion of new economy, asymmetric leverage effect, and distorted relationship between the risk and the profit. The research result shows that the basic logic of the stock system in China is "money encirclement" at current stage. The largest fluctuation is system fluctuation; the largest uncertainty is the uncertainty of systems. This is the conclusion of this paper and it has originality.Therefore, in order to change the current situation, the money encirclement mechanism must be stopped. Introduce systems of mature stock market overseas in terms of the registration system, SOE reform, system efficiency, system anticipation, and most importantly, to put forward suggestions on registration system.