Research On The Influence Factors Of The Stock Return Volatility With Vector Regression Approach And Variance Decomposition

The study on stock returns is a widely focused field abroad . Models and methods of its empirical study emerge in an endless stream, especially the research on the important factors of the stock returns since 1990'. But the security market of our country develops relatively late, and with our country's specific economic system. Making the security market still very unstandard at present, a large amount of focuses paid attention to in research about the security market are the validity of the security market and fluctuation of the market. Comparatively speaking, research of stock price , stock returns is fewer . With the development and regulation of China's stock market, the factors which influence investor's behaviors and stock returns have become more and more complicated. To get a thorough understanding of these factors and characters of our market will have far-reaching significance in establishing a healthy running mechanism, improving the quality of listed companies and providing investors with reliable information and scientific guidance. First, this paper theoretically reviews the factors influencing stock return from different aspect. Secondly, propose the research approach in this paper: decompose the stock return to get influence factor of the stock return. On the basis of that, we have an empirical research. The empirical research adopts the theory frame of the dividend-price logarithm rate model, combined vector regression approach (VAR) and econometric tests to analyze data about security market from 2000.01-2003.12.Then, this paper studies the relative importance of news about future dividends and news about future returns on the basis of the decomposition of stock returns in china security market. Meanwhile, I have reviewed the reaction that the stock returns do to the news about future dividends and some relative phenomenon. . The empirical study finds that the news about future dividends is the main factor which drives the stock returns, and stock returns overreact to news about future dividends in our security market. At the same time the violent fluctuation of the stock price and extremely strong speculativeness of the market prove the security market of our country is a non-effective market.