Research On Price Behavior In China Stock Market

With the development of market size and booming of economic functionsin China, stock market is playing a more and more important role in China's economic field. However, compared with mature foreign stock markets, there are still many problems with China stock market as an emerging one, which leads to large volatility and strong speculation and increases too many risks on investors.This dissertation combines theory with empirical analysis, integrates qualitative measures with quantitative methods. On the basis of former research results, it also applies as many as data samples and precise econometrics methods to do research on price behavior's yields and volatility in China stock market.This dissertation firstly gives the brief introduction of presenting China stock market and the basic data statistics analysis, and makes a conclusion about price yield distribution's character: skew ness, volatility clustering and leptokurtosis. Secondly this dissertation gives the deep explanation on these characters and deep analysis on statistics. Thirdly this dissertation does the empirical analysis on price behavior's yield and volatility with GARCH model. It also gives the corresponding empirical analysis results on US stock market, and compares the different performance of three public companies listed in both stock markets. In the last part, this dissertation digs the deep reasons for large volatility in China stock market and puts forward the relative policy suggestions.