Empirical Study On Volatilities Asymmetries In Chinese Stock Market

The study on market volatility, especially on the volatility of stock market has become a hot topic in empirical finance in recent decades. Researchers and practitioner realized that volatility was closely related to risk and the relation has been extensively applied in risk management. In the academic perspective, plenty of empirical evidence indicates that the variation of stock prices display some features, such as volatility clustering, volatility persistence and leverage effects. The purpose of this thesis is to investigate the phenomena of volatility asymmetry in Chinese stock market.The study employs sub-sample strategy. The entire data covering period, 1993-2006 is divided into four episodes: 1993.1-1994.12 1995.1-1996.12 1996.12-2005.9 2005.9-2006.9.It is justified that good news and bad news have different impact on the volatility of Chinese stock market. The focus of this thesis is the fourth episode, during which the largest latest event in Chinese stock market, the Shareholding Structure Reform was happened. I try to exam the impact of equity division reform to the volatility asymmetries. The study builds econometric model the A-shares and B-shares market data as well as the aggregate market behavior. Some advanced time series modeling techniques, including GARCH, EGARCH, APARCH, and TARCH are employed. Estimation comparison is carried out. Finally, empirical findings are explained in the perspective of Chinese policies, the improvement of information disclosure, quality and structure of investors, as well as psychological characteristics of the investors. And some administrative recommendations are raised.The thesis is organized as follows. The first chapter introduces the importance of the research background, as well as research achievement of this study. The second chapter is literature review, outlines the relevant literature of domestic and international publications, respectively. The third chapter is about methodology. The fourth is main part of this thesis, the empirical study chapter. It starts from an examination of the asymmetry of Chinese stock market over the total sample period. The final chapter concludes.