The Characteristic Of The Stock Returns In Chinese Securities Markets

The asset pricing is the core contents that the financial economists concerned. We first get the time series characteristics of SCI and its returns by means of an empirical test. We find that the daily, weekly and monthly yields all present the obviously high peaks and thick tails. However, after authorities put some restriction of changing range on stock prices, this feature dies down. Based on the runs tests and further the analysis on the structure of the runs of the SCI, we notice that the runs of the weekly yields are significantly less than those of the random walks. Weekly yield series of SCI present such a continuously rising or falling trend process. Besides, we notice that after 2-days rising, the SCI significant falls; after 3-weeks falling, the SCI is most likely to keep falling; after 6-weeks falling, the SCI probably keep falling; and 3-weeks increased, it is prone to continue this trend.Applying the GARCH and TARCH models to the examination of the clustering and leverage effects of SCI, we conclude that there exists a significant clustering and leverage effect in Chinese stock market. A great fluctuation of stock price is followed by another great one, and a small fluctuation is followed by a small one. Fluctuations in the same size usually appear in consistency. On average, the influence of disadvantage information is always stronger than that of beneficial information. Compared with the beneficial information, the disadvantage information may cause the greater fluctuation in stock market. The SCI presents a fractal dimension characteristic, its monthly yield series present the long-term memory and a sustainable trend characteristics. The average cycles of Chinese stock market is about 11 months.We adopt the event study to examine the influence of the stock market policy on the stock market price; all kinds of the stock-market-oriented policies turn out to bring the significant influence to the stock market. When the security authorities send out good news, positive abnormal returns appeared in the stock price in the short-term. And when the stock prices were falsely high and existing the speculative bubbles, the security authorities take charge of restricting the cash flow into the stock market. The moving of the stock prices promote the cash flowing into or out from the stock market, and possibly influence the real economy. This may be one reason that the moving of the stock price has the anti-cycles of the real economy. In addition, the scale of the collection in stock market each year iss also a certain influence on the stock price fluctuation.In the long-run, the stock market policies influence the stock price fluctuation; inthe short-run, the investor emotion affected the stock price fluctuation significantly. Based on the BSV model, DHS model and the coherent market hypothesis, we put forward the random coherent market hypothesis. The conclusion is that the short-term trend of the stock price depends on the historical price, and also including the power of the investors holding the mean-reverting regime and that of investors holding the trend sustainable regime.