The Empirical Researches On Asymmetries Of Volatilities Of China's Stock Market

Being a new emerging market,China's stock market is often called "information market","policy market". Impacted by the institution transition, its violation shows temporarily or periodically. So this article does researches on Shanghai and Shenzhen stock markets' receiving rate respectively. Firstly, this article finds out we can do empirical research on the asymmetries of the volatility of our stock market, through EGARCH-M model based on t-distribution. The empirical results show that during the first period (1990-1996), Shanghai market did not exist volatility's asymmetries that is receiving negative shock on the market is not different from the same degree's positive shock, but different from shanghai stock market, in Shenzhen stock market the degree of receiving negative shock on market's volatility is smaller than the same degree positive shock, which means the leverage effect exists in Shen's market; during the second period (1997-2004) the leverage effect exists in both Shanghai and Shenzhen stock market that is the negative shock is bigger than the positive shock. During this course, China's and foreign stock markets all exist the asymmetries' impact, which also means our market is developing rapidly and maturing to the good and efficient market. What's more, based on empirical researches, the shares of speculation in China's stock market are decreasing, the investors are being more rational, however, and the status of our market is still behind industrialized countries. So there is still a long way for CRSR to go in nominalizing listing companies,perfecting the dropping out mechanism,folstering institutional investors. Better known the characters of our stock market, investors could evading risks, provide policy advice on decision making for the government, only to benefit our stock market's prosperity and development.