The Empirical Research On Asymmetric Volatility Of China Stock Market

Since its establishment, the stock market has attracted great attention to study because of its distinguished functions in allocating resources, transmitting information and so on. Among all the studies, research on the stock price, especially the market volatility plays on pricing the financial an important role. The stock market volatility has a direct stock erect derivatives, controlling the market risk, supervising the market predicting the future price and so on. So there is no doubt the study on this field is important and promising.There are a lot of characteristics in the volatility of the financial market. Asymmetric impact of stock market is that the equal degree good news and bad news have different impact on the stock market volatility. This thesis conducts an in-depth empirical research on the Asymmetric volatility of the Chinese stock market, which results in a conclusion on the contrary to foreign stock market, that is, on the stock market of China, the impact of good news with the same degree on fluctuation is greater. meanwhile, the introduction of investor behavior to be observed on parameters Asymmetric volatility, then, the phenomenon is explained from the perspective of investors with the combination of behavioral finance.First, it analyzes the effectiveness of the Chinese stock market, the securities investors's basic component, psychological characteristics, disposition effect and herding and micro stock market trading mechanism of the Chinese stock market, and introduces the basic characteristics of volatility on the Chinese stock market, some of the basic characteristics of the stock price, we discovers the existence of "excess kurtosis and heteroskedasticity" feature. Then, it briefly introduces the models and estimation methods in the estimation of volatility, through the low-frequency EGARCH model, using from December 19, 1990 to April 28,2006 in the Shanghai stock market composite index closing price, it examines the overall asymmetry of the Chinese stock market. On the basis of the previous empirical research, through the revision EGARCH model, using from December 29, 2004 to December 31, 2005 in the Shanghai stock market Composite Index on the five-minute high-frequency data, the fifth part further inspects the investors' behavior on the impact of price fluctuations under the impact of the equal degree good news and bad news. through the two empirical researches, we discover the existence of the Asymmetric volatility of the Chinese stock market and the impact of good news with the same degree on fluctuation is greater.Finally, it proposes the corresponding suggestion for the Chinese stock market construction and the investors' investment Through carting on the conclusion analysis and provides my own opinion for later research.