Study Of Chinese Stock Return And It's Volatility

This thesis takes a close and deep look at volatility of Chinese Stock Market Price during the recent 10 years , especially during the periods before and after the openness to domestic investors of B share in Feb.2001.Based on the study of Chinese Stock Price volatility, this thesis analyses the cointegrated relationship between the four different share indexes ,namely Shanghai A-share, Shanghai B-share, Shenzhen A-share and Shenzhen B-share .It is of certain meaningful theoretically and realisticly.Firstly, this thesis starts with probing into characteristics of Chinese stock price volatility in two different periods respectively. Secondly, theoretical models for time series ,such as GARCH, EGARCH, TARCH and GARCH-in mean ,and the methods of parameter estimation are introduced .Then , these models are employed to test the volatility in Shanghai A-share ,Shanghai B-share,Shenzhen A-share and Shenzhen B-share.Next, in chapter 4 ,we study the co-integration and test the Granger causality between the four share indexes .Finally, the spillover of volatility between A-shares and B-shares markets are tested .Our findings are as follows: Firstly, the phenomena of thick tails, volatility clustering, leverage effects, are existed in Chinese Stock Markets.Bad news affecting is higher than good news; Secondly, It is found from the comparison that the ARCH type models with student's innovation is more capable to capture characteristics of logarithmic return time series ; Thirdly, return of the four share indexes keep in co-integration at a long run; Lastly, the volatility spillover effect between A-share and B-share are tested and there exists a prominent spillover effect from A-share to B-share.