A Study On Abnormal Volatility In Chinese Security Market From The Perspective Of Crisis

As an important character of financial assets,price volatility directly affects the process of how asset price is formed and discovered.The last several years have seen frequently severe ups and downs in security market with the rapid development of financial innovation and increasingly complicated financial products.Therefore,it is of great significance for the rational understanding and effective prevention of security market crisis to study price volatility from the perspective of crisis.Based on the market microstructure theory,this thesis shows a comprehensive description of the volatility in Chinese stock market and its characters from both micro and macro angles,and analyzes the effect of liquidity on asset price bubble and collapse.What's more,it discusses preventive measures of the volatility according to hedge time-varying characteristics.The specific contents are as follows.Firstly,study of volatility characteristics in Chinese security market.Panel data from individual company is used to establish vector auto regression model of dynamic panel.GMM method is adopted to probe into the asymmetric volatility characteristics of Chinese market and strictly distinguish volatility feedback and leverage effect.Moreover,this thesis also works out what dominates the fluctuation.Secondly,study of abnormal volatility in Chinese security market.On one hand,this paper makes debt serves as an entry point to analyze the abnormal volatility related to economic cycle from macro perspective.First,it describes different stages of debt and economy from the aspects of interrelation,meanwhile,studying the approaches adopted abroad to deal with debt crisis,set up a complete framework and extract different measures for different stages.Furthermore,this paper combined with the current debt structure and the basic situation of economic operation to point out the stage of debt and economic cycle which China is in.On the other hand,it describes the structural features of market abnormal volatility from micro perspective and show changes in price from the view of volatility.This paper uses nonparametric method to estimate the jump in volatility and expose the characteristics of abnormal fluctuation during crisis.At the same time,market liquidity and asset price are analyzed before and after abnormal volatility from the perspective of liquidity to reveal the nature of crisis.Thirdly,study of the influences of funding liquidity on price bubble.To begin with,a theoretical basis should be built to study price bubble.It explores the relation between investor sentiments and the bubble from two aspects of heterogeneous belief and overconfidence.Then,with further relaxation hypothesis,this paper works out theoretically the effect of funding liquidity on the bubble.Moreover,this thesis relies on residual income model to measure bubble level and establish panel data model to study related issues.Fourth,study of the influences of market liquidity on price crash.Based on the symmetrical and idiosyncratic shock concept,it deduces the mechanism of action of insufficient liquidity to the collapse of asset price under the continuous time equilibrium model.What's more,this paper also explores the effect of Chinese stock market liquidity on stock price and analyzes the interaction between the imbalanced order flow caused by excessive sale and the above relations.Fifth,study of measures to prevent abnormal volatility in Chinese stock market.Considering hedging failure,this thesis takes beta,the important factor of hedging ratio,as the entry point,to investigate the time-varying characteristics of hedging ratio in Chinese stock market and explore which kind of information will trigger changes in beta and hedging failure.In addition,aiming at different entities,it also puts forward the policy suggestions to prevent abnormal volatility of stock market.