Analysis Of Investment Returns And Their Volatility Charaters In Shanghai And Shenzhen A Stock Market

Diven by the national policy of vigorously developing the capital market, China's securities market has developed very well, just 17 years, from none to newly-built ,from a small scale to a large scale. Especially since 2006, has realized transform Bear Market into Bull Market. The stock market of china developed into the fourth largest capital market in the world by 2007, carresponding with the scale of total supply and demand of China basically. The stock market has become one of most important places to raise the fund and distribute resources. The disposition function of the stock market is realized through price mechanism, understanding and assurance of the fluctuation of the stock price are starting point and home that people participate in the market, so the study on the explanation that the stock price fluctuates and pricing efficiency has been a hot problem in the financial investment field all the time. The fluctuation of the stock price is usually expressed with the fluctuation of returns. So under the present situation it is of a specific theoretical and realistic significance to study stock index returns and fluctuation, analyze in an all-round way to Shanghai and Shenzhen A stock market, explore the law of stock market of China, and examine the validity of China's stock market.This paper regarded the investment returns of a share in Shanghai and Shenzhen stock market and characteristic of fluctuating as the research object, adopted the theories and methods of finance, statistics and econometrics, analyzed the fluctuated characteristics of the stock price, and examined the efficiency of the stock market of China. The paper introduced the theory of stock market briefly, returns fluctuation theory and returns fluctuation models at first, which form theoretical foundation of the paper. And then taken a positive research part of this text, the positive research started with analyzing the A-stock essential feature of Shanghai and Shenzhen , in to hold the basic characteristic of the A-stock returns of Shanghai and Shenzhen on the whole, then combined the historical data of China's stock market, analyzed the fluctuation characteristics of the stock index returns in Shanghai and Shenzhen in many aspects, and explored its origin produced using GARCH, such models as EGARCH , TARCH ,etc. Positive research indicated that the stock index returns arrays of Shanghai and Shenzhen has characteristic of "fat tails excess Kurtosis" remarkably. At the same time the stock index returns has still demonstrated volatility clustering, the fluctuation in the past of stock markets of Shanghai and Shenzhen has lasting influence on the present fluctuation. Stock markets of Shanghai and Shenzhen have remarkable calendar effects, the stock index returns arrays of Shanghai and Shenzhen have stored in the effect in weekly and effect in monthly obviously. The remarkable effect of overflowing two-wayly exists in stock markets of Shanghai and Shenzhen, the fluctuation of two markets both received fluctuation in the past of two markets and the influence of square of error in the past. The effect of the remarkable negative lever exists in stock markets of Shanghai and Shenzhen, the fluctuation that the news of the empty profit caused more than the good news of the equal size.This paper has analyzed the fluctuation characteristics of the China stock market price thoroughly from all directions. It is better to understand stock market operation law better, and it is also help give some gists with which the policymaker can standardizes market behavior and investor makes the investment decision scientifically, denied the weak type validity on the stock market of China at the same time.