Research On The Characteristic And Influence Mechanism Of Chinese Stock Price Volatility

On December 19, 1990, Shanghai stock market started doing business, and on April 3, 1991, Shenzhen stock market tried to do business. After several years'development, the scale and participants of Chinese stock markets have expanded unceasingly. The stock markets have made tremendous contribution to Chinese economy construction, enterprise property right system reform and financing channel expansion. But Chinese stock price volatility is of high frequency and wide range, which brings huge risk to the investors, companies and government. Therefore, the research on the stock market price volatility characteristic and influence mechanism appears extremely important.Stock market is influenced by multitudinous and intrigued factors,which brings great difficulty to the research. At present most researches mainly concentrate on the characteristics of stock price volatility and the econometrics analysis of influence factors, but there are very few researches concentrating on the influence mechanism analysis. Moreover most influence mechanism research is qualitative and lacks the establishment of the model. Therefore, this thesis seems to have great theoretical and practical significance in modelling the stock price determination with cybernetics method and analyzing the influence mechanism.This thesis starts from the overview of stock market price volatility theory, and with review of Chinese stock price history, applies the GARCH model to our country stock market price index, and summarizes Chinese stock market price volatility characteristics. Then in the foundation of general commodity price determination mechanism, viewing stock as one kind of investment, this thesis analyzes the particularity of stock's demand and supply, and establishes the demand and supply equations with economic cybernetics method, and forms the balanced price determination model. Because the model is too complex, which brings difficulty to the quantitative analysis, this thesis simplifies the model in two assumptive extreme situations, and solves the stock price equation. The result proves that the solution of the price determination model tallies the volatility characteristic based on the GARCH model. Then this thesis explains how traditional factors influence stock price from the aspect of the determination model. Finally, this thesis uses the VAR model to analyze the relations between stock market price volatility and GDP and M2 of our country, which proves that the influence mechanism based on the cybernetics and the influence mechanism based on the econometrics matches. All these above prove that the stock price determination model established in this thesis has explanation ability in the stock price volatility characteristic and in the stock price influence mechanism, and the model can be used in the stock price volatility analysis.In brief, this thesis proposes a new and systematical analysis frame for the research on stock price volatility, which not only enlightens further research, but also provides references to company, investor and supervise departments of our country.