The Empirical Study For Stock Return Volatility Basing On Indexes

At present, the Chinese stock market is still in rapid development stage. The GEM board just launched is to build multi-level capital market manifestation of the strategic plan, with the existing main-board and SME plates, forming a multi-level structure of the Chinese stock market. With pre-IPO private equity market active and prosperous, China's capital markets will be more perfect. Therefore, the empirical study for stock return volatility basing on microscopic state of listed companies will help investors and government regulators a better understanding of the characteristics of Chinese stock market. The investors can invest according to their own investment objectives and make the appropriate decision-making, while government regulators develop policies to provide important guidance.In this paper, the article is based on domestic and foreign scholars research and regard the microscopic state of listed companies as a starting point of stock market volatility. We will make a horizontal comparison between listed companies with different microscopic state. Research ideas is based on the Hushen 300 Index of stock returns and put it as the reference of the market trend easy to grasp the overall operation of the market situation. Also we can make a comparison with other index returns which is on behalf of other class of listed companies.A statiscal analysis on return rate and volatility of Shanghai stock 50 Index is to reflect the characteristics of good blue chip with large scale and good circulation. Shanghai Dividend Index is to reflect the characteristics of the volatility of stocks with high dividend listing earnings; Small and medium board index is to reflect the characteristics of listed companies with small market size and high growth potential. And the volatility characteristics of ST portfolio index is to reflect the characteristics of listed companies with higher investment risk and uncertainty.From the empirical analysis, this article draws the following conclusions:1. Shanghai stock 50 Index and Shanghai Dividend Index have almost the same average daily gains as the Hushen 300 Index and even slightly lower than the Hushen 300 Index, which indicating that at present in stock market, the blue, chip with large scale and good circulation is not superior to stock market performance. While Shanghai dividend index have lower average daily returns. Investors put money on it due to its dividend and less risk. The overall performance of high-dividend stocks is in line with market expectations, and consistent with the market performance.2. As the implementation of ST plate a 5%price limit, which limits the stock price fluctuations, we can see that the income gap between the maximum and the minimum is the smallest. However, we found that the average income of ST plate is the largest in all, which indicating that under the current stock market, there is a certain "seesaw" effect between ST plate and the whole market performance.This was mainly because that the market is still in the weak situation.And the ST plate as expected with restructuring has strong speculative effects.3. The earnings of Shanghai stock 50 and Shanghai dividends index were significantly lower than growth stocks and high-risk of ST plate, but the unconditional standard deviation of the board index representative of small growth stocks was not significantly greater than Shanghai stock 50 and Shanghai dividends. The strength of ST plate is also an indication of market speculation in China is still evident.4. The stock return volatility of SME plate and ST platet are more vulnerable to "external sources" effect than the earnings of Shanghai stock 50 and Shanghai dividends index. This is mainly because SME plate and ST platet have high-risk which easily lead to investment speculation by investors. At the same time Shanghai stock 50 and Shanghai dividends earnings is stable.The main innovations of this paper are as follows:regard the microscopic state of listed companies as the starting point of stock market volatility, trying to figure out the similarities and differences between listed companies with different micro-stock rather than purly research in a particular market index only, so it is better able to fully reflect the characteristics of China's stock market volatility.