The Positive Research On China's Stock Market With ARCH Models

Securities shares as a capital of the tool, a virtual representative of the capital, can be very convenient to the international market to raise funds and factoring. Stock prices in the stock market are the sale price, also known as the stock market or stock quotations. Stocks as a portfolio of evidence does not itself have a value, it has a price. For it is in the market for distribution to the holders and generate income, which is the form of value, thus becoming a special commodity, and in the stock market circulation. Stock price index is a measure of development of the securities market as an important indicator is a measure of a country or region's economic development "barometer" or "indicator" Linkage its effectiveness is increasingly in the world market structure.In increasing the economic sphere of Linkage is effective, the time series models are important methods in describing and forecasting the objective economic process. However, when put them into application, because of the particularity of economic field, we often encounter many difficulties in the time series models analysis by using the traditional frequency statistical method. Therefore, this paper describes a technique, economic analyzes with ARCH time series models, which has proved over the past several years to be an attractive alternative in many situations to the use of traditional econometric models or other time series techniques.The time series technology is an important tool in study of stock market. After study, we come to some valuable conclusions. Time series from stock exchange has the following characteristics. First, it appears to be a random walk but may be not totally random. Second, it is easily and almost costless available. Time series method is a newly-developed quantitative method for yields satisfactory results in the analysis of economic time series in which the involved factors are too many and the relationships between them are too complicated, leading to the application of theory-based quantitative predicting methods unworkable. Then ARCH models on the weak stock market effectiveness of testing, through research found that the current stock market in China has entered the market weak effectiveness, be several important conclusions:1. ARCH (1, 1) model suitable for the Chinese stock market characterization yield fluctuations law. China's Shenzhen and Shanghai stock markets adjusted abnormal value, can be used in daily yield obedience AR (6) process. Obey its variance ARCH (1,1) in the model to describe. In the yield equation Lane Construction of the two dummy variables, characterizing government policies introduced after the unusual fluctuations in the stock market for some time. Shanghai stock market and Shenzhen stock market volatility yield There conditional heteroskedasticity, namely, the existence of sexual volatility clustering. In other words, the market yields fluctuations with time and change, often in a moment consecutive high or low situation.2. The Chinese stock market, the yield fluctuations in the existence of a "lever effect." 2 market EGARCH (1,1) model and EGARCH (1, 1) - M model coefficient g were negative, and they both passed the test statistics, This illustrates two market yield fluctuations in the existence of a "leveraged" that the same bad news than good news on the size of the market volatility of a greater impact. Shanghai and Shenzhen stock markets yield sequence is not independent and long-term relevance, is not normal and has obvious fat tail; Shanghai and Shenzhen stock market yield a certain sequence with a smooth, There ARCH effect; Stock volatility than the fluctuations in Shenzhen and Shanghai stock market has marked a lever effect, and the Shenzhen Municipal leverage effect is not significant. Shenzhen and Shanghai stock market yields equation, and the only statistically significant. China's stock market shows that the prices of the information, the sensitive enough. From this relationship can be proved. This phenomenon is largely due to information leaked earlier, reflecting the country's stock market and legal system is not perfect and ineffective monitoring market, and as a result, the lack of information disclosure norm.3. China's stock market did not show up along with high-risk high-return characteristics. 2 market ARCH (1,1) - M model coefficientsδsymbols uncertain, Shanghai stock market to .015, the Shenzhen stock market to -0.01, but no statistical test. So from the Shanghai and Shenzhen stock markets yield analysis, did not reflect the high risk associated with high returns. Along with a low-risk low-return, this shows that the majority of China's stock market investors in investment decision making non-rational factors than rational factors. More than an element of speculative investments component,or that most investors are not risk-averse. This is also a way, which the Chinese stock market is still immature. Shenzhen and Shanghai stock markets ARCH models Kurtosis coefficient, which indicates that the Chinese stock market has strong speculative color. This is a perfect market is not yet mature performance also reflected in China It has also failed to establish a market economy system which should have awareness of the investment. 4. China's stock market development is not complete, and the noise accounts, the Shanghai stock market volatility deeper more intense, have shown its more than Shenzhen market speculation strong colors, and along with a wide range of non-market factors often influence the trend of the entire market, This is a mature market should not happen, so fully demonstrate China's stock market there are still a lot of drawbacks, To embark on the track of healthy norms there is still a long road, there is an urgent need for all sectors of the community work together.