Empirical Research On Price Volatility Of Stock Market In China

The paper focuses on the stock market of China and in-depth analyzes the stock price volatile characteristic by the method of empirical research. It structures some long-short group index which can reflect the long-short groupbehavior of stock market in China to study on the group behavior and of its influence on return's volatility.The paper introduces price volatility of stock, theory of stock market, concept of long-short group in the market and how to structure the index. In the section of empirical research, first of all we study on the regression between long-short group index and return's volatility. It is found that, these two things have high correlation, so it is proofed that long-short group power can strongly explain return's volatility of the market. Then, it deeply structures the long-short group model, combined the models of different aspects. By means of data analysis, it concludes a series of rules of price volatility in the stock market, especially in total reversals there are obvious commonality in the way of long-short group model combination. Finally, it uses the rules to find the reverse signals in total reversals and take a table analysis between signals and return's volatility of different periods. It concludes that the reverse signals can in some measure to forecast the short middle and long return.The paper approves thinking of behavioral finance, taking solidified base on analyzing and forecasting market returns from aspect of group psychology and inner structure of market.The paper deeply analyzes the price volatile characteristic from aspect of that the return can be forecasted. It proves that the rules of price volatility exist in stock market in China. The rules can help investors finding the rules of market so they can invest more scientifically. Meanwhile, these results deny the weak-form efficient of stock market in China in some way.