Study On The Influencing Of Behavioral Factors On Abnormal Volatility In Chinese Stock Market

It is inevitable that there is the volatility of stock price in stock market. But the frequent and violent volatility make investors difficultly to make correct investment and decision. At the same time, the frequent and violent volatility influences the economy development, and even bring out the economic crisis. Therefore, the researches on securities market volatility have been the important field of modern financial for a long time. Since the stock markets of our country were established, the stock price has been in abnormal fluctuating all the time. Traditional theory reasonably explains the abnormal volatility by any consumption-based utility model. By the theory and test based on the behavioral finance, influence of the behavior of investors and government on the abnormal volatility of Chinese stock market is studied in the paper. The research aim of the paper is that the new ideas and suggestions which solve the abnormal volatility of Chinese stock market can be put forward, and it may be helpful for investors, listed companies and government to prevent the abnormal volatility of Chinese stock market.This thesis consists of five chapters. First is the introduction, which includes two aspects. One is that the characteristics of the abnormal volatility and the factors resulted in the abnormal volatility are summarized. The other is the introduction about the main work of the present paper. Secondly, the models and theory of behavioral finance relative with abnormal volatility of stock price are introduced and compared. Thirdly, based on the theory of behavioral finance, effect of behavior, which is resulted from the deviation of irrational investors, on stock price volatility is analyzed, and the quantitative relation between the earning rate of stock and the previous utility of loss aversion investors is established. Next, the effect of government behavior on stock price volatility is analyzed, and it is found that during different period, there is asymmetric volatility resulted from the stock information in Shanghai and Shenzhen stock market. Finally, the conclusions of the present work are drawn, the suggestions preventing the abnormal volatility of Chinese stock market are given and the limitations of the present work are postulated.The main conclusions of the present paper are as follow. The majority investors are irrational, which means that disposition of Chinese investors is not high, and the investors do not have the character of rational investment. The loss aversion behavior of investors and government behavior are important factors influencing on the abnormal volatility of stock price. There is the some relation of Shanghai stock and Shenzhen stock, and the returns volatility in stock market is asymmetric significantly.