Volatility Of Stock Market: Empirical Study On Shanghai Stock Exchange

Since its establishment, the stock market has attracted great attention to study because of its distinguished functions in allocating resources, transmitting information and so on. Among all the studies, research on the stock price, especially the stock market volatility plays an important role. The stock market volatility has a direct effect on pricing the financial derivatives, controlling the market risk, supervising the market, predicting the future price and so on. So there is no doubt the study on this field is important and promising.China stock market has a short period of history and the stock price fluctuates violently and frequently. Though we can not deny the positive effect of the high volatility in the early development of China stock market, the negative effect of extremely high volatility should draw more attention. In fact, the government has always been trying to keep the level of stock market volatility in a reasonable range. However, there are few research achievements on this thesis at present. Most scholars only emphasize on the qualitative analysis while those few who emphasize on the quantitative analysis do not have a comprehensive study on this issue. So this paper is aimed to complement the above weakness and make a systematical study both theoretically and empirically and compare different econometrical models to find a suitable one for China stock market.This paper is divided into five chapters. The contents and viewpoints are summarized as follows:Chapter one is the fundamental basis for the whole paper. This chapter gives a brief analysis of the stock market volatility from the aspect of theory. It explains what the volatility is, what cause the volatility and how to evaluate the volatility. The evaluation system contains two methods: statistical evaluation and evaluation with econometrical models. The two methods are fully applied in the following Chapter Two and Chapter Three. And the causes of the volatility are applied in Chapter Four.Chapter two analyzes the characteristics of the stock market volatility with the statistical evaluation method. This chapter uses nine indices to analyze and compare the volatility of China stock market with that of America stock market and Hongkong stock market respectively. It also compares the volatility of China stock market in time series. Thus this chapter draws five conclusions about the characteristics of China stock market volatility.Chapter Three uses econometrical methods to analyze the characteristics of the...