| With the development of financial markets and the expansion of trading in recent years,more and more money have been invested in the stock market.At the same time,the fluctuation of market price is also very intense,these phenomena make investors face greater risk and bring new problems to the regulators.Since Shanghai and Shenzhen stock exchange have been established in 1990,the chinese securities market has been developed for more than 20 years,as of June 2015 chinese A share market value is up to 52.96 trillion,about 10.92% of total value during the same period in global stock markets,this makes the securities market become the world's second largest market after the United States.Though developing rapidly,our china's market still has many deficiencies compared to those mature markets of the western countries.As the stock market can be treated as the barometer of national macro economy,its fluctuations could bring profound influence to economic development and social stability.Therefore in the process of securities investment,if we can not correctly understand and measure market risks,or insufficient acquainted with the risks,not only these factors will reduce the efficiency of asset allocation in the economic and social activities,increase the economic running cost,lead to the wrong judgement without scientific research,but also cause investors to suffer huge losses,which also affect the healthy development of social economy and even induce panic,so the effective analysis,forecast and regulation of the stock market volatility is very importment.At present our country is in the key stage of deepening the financial reform stage,so how to reasonable configuration of resources and better control risk has already become the important topic.This article is divided into seven chapters,the first chapter is introduction,the second chapter is literature review,the content of the other chapters are as follows:The third chapter discusses the cause of our country securities market volatility.First of all,the cause of the securities market can be divided into listed companies,the market investors,operation mechanism,the different factors such as the international capital market and the domestic economic policy.Then based on the industry panel model,we use money supply M2 as the capital of alternative variables,examine the market fundamentals and money influence when facing theimpact of stock volatility,the results show that the current Chinese stock market has been still dominated by money to promote the market.Secondly,we deal with the money M0,M1 and M2 on the hierarchical processing,and then analyse the relationship between money supply and stock market volatility.Finally,from the micro-level research capital account and flow change on the fluctuation of market,on the one hand,investors can be divided into individual and institutional investors,and according to the account value the investors can be divided into five classes,at the same time we study the change of the securities,funds,trust funds,test the relationship between capital account changes and stock market volatility.On the other hand,we analyze the relationship between trading volume and stock market volatility,and study the different fund net inflows to stock fluctuations.The fourth chapter forecasts the volatility on the basis of considering the jump behavior.On the one hand,as the deduction of BS formula needs market effectively and obey random distribution,the lack of options market limits the use of implied volatility models.On the other hand,the SV and GARCH model often use in the low frequency and low dimensional data.Because the high frequency data contains more advantages and can better reflect the fluctuation of information,also the structure of realized volatility is simple and can be extended to the multi-dimensional variable combined with high frequency data,so we use the realized volatility to analyse the market.Moreover,as the high frequency datas contain more advantages and better reflect the fluctuation of information,so we calculate the realized volatility of our market based on the five minutes frequency data in 2013.1.1-2015.12.31.the first step we study the long memory and heterogeneity of the market,and then analyse the influence of overnight information.Secondly the realized volatility can be decomposed into two parts,one is continous volatility,the other is jumping volatility.According to the formula derived inspection financial assets jumping method in the day,at the same time,we also consider market microstructure noise and correct the method.Finally,combined the HAR-RV-CJ model,we investigate the volatility forecast effect under different time window.In the fifth chapter,we study the investors behavior impact on market volatility according to the behavioral finance.Compared with the relatively mature capticalmarket abroad,the individual investors accounted for the vast majority of Chinese stock market.The overall quality of investors is low and has many irregularities.Moremove,the stock market is lack of investment style such as financial derivative tools in our country,these disadvantages is also harmful for market stability.Moreover,these factors also make us necessary to study on investor behavior.So we use the data by 2000.1-2015.12,a total of 16 years according to the behavioral finance theory,and structure the investor sentiment index,then the article examine the herd behavior and emotional impact on earnings volatility including emotional variables,and estabilish SENT-EGARCH-M model to study the positive and negative impact and the asymmetric effect on the market.Finally we use vector autoregressive model to study the short and long term equilibrium relationship between investor sentiment and the stock market volatility,and compared with the prediction accuracy by the support vector machine model.The results show that the contribution rate of investor sentiment is about 10%,and joining the sentiment index can improve the prediction accuracy better when we study stock market.In the sixth chapter,we study the effectiveness of regulatory policy according to the market volatility.we investigate the present status of the securities market regulation in china,and then study the three aspects of the effectiveness about the policy.First of all,we test the market efficiency before and after the subprime crisis carried on the inspection by variance ratio method,secondly we analyze the selected market excess yields before and after the policy based on the event study method,thirdly we test the change of market volatility about policy.Finally we find that he market did not achieve effective weak type,but with the improvement of the policy the market efficiency is gradually improved,and with the promulgation of the policy the market yield can have a significant impact,also as the aim of stable stock market volatility is also an important goal of government regulation in our country.Therefore,the goal of stable stock market regulators may not be completely achieved.The seventh chapter is conclusion and policy recommendations.According to empiricial conclusion we can get the following enlightenment and suggestions,firstly we need to improve the information disclosure mechanism to ensure the validity of theinformation,secondly we need to strengthen the education of investors and market risk warning monitoring mechanism,thirdly we need to perfect the volatility index to monitor the stock market risk.Finally we should build the CSRC,exchanges,intermediaries,news media and social public coordinated multi-level supervision system,encourage intermediary institutions and the social public inform on insider trading and market manipulation behavior,and intensify punishment for these crimes to establish an effective securities violations punishment mechanism,these actions could build a more healthy and stable financial market in the near future. |
PDF Full Text Request