An Empirical Analysis On Volatility Yield In Shanghai Stock Market

China's economy has become an important part of the global economy, and a beautiful landscape of its development. But in today's global capital market integration process of the rapid development, the indisputable fact that severe and frequent fluctuations of China's stock market are well-known. China's economy from the planned economy to market economy the transition of the specific economic development background, as well as modern econometric methods and the development and test experience accumulated for the study of China's stock market volatility has provided soil and tools. In addition to China's stock market to carry out profound and comprehensive study is very necessary, because on the one hand is to strengthen and improve the self-construction of China's stock market and the needs of the development, on the other hand, with the convergence of global financial markets and integration needs. Therefore what is China's stock market volatility of the statistical characteristics? What are China's stock market gains and the related risk? How about China's stock market calendar effects, as well as the existence of non-symmetry? China's stock market and the characteristics of the differences in mature markets abroad, and so on, comes from practice, and has theoretical significance.Share prices contains a lot of the rich information, the main operation of the stock market involves many aspects, including both institutional factors, including economic factors, both the economic system, including securities trading system; It also includes listed companies, investors , intermediary institutions, the interaction between the regulatory bodies Game, these are economists, financial experts and a number of institutional investors and small shareholders concerned about the important factors. In the related financial theory on the basis of the analysis in this paper is primarily concerned that stock market in Shanghai volatility yield typical fact that the main empirical research and testing in an attempt to further enrich the behavior of the stock market volatility connotation, during the transition period of China's economic fluctuations in the stock market yield character, and further relevant policy recommendations.In this paper, a large number of domestic and foreign literature as well as the data of Shanghai stock market, and financial econometrics as the main research tool, and through the use of the Shanghai stock market Shanghai composite index closing price data for the sample of China's stock market gains fluctuations in the rate of theoretical analysis and empirical research. Through the use of econometric models in the establishment of financial ARCH econometric model yield on the Shanghai Stock Exchange empirical analysis in this paper, further reveal the characteristics of China's stock market fluctuations, the main ones being the stock market and the effectiveness of the calendar effect, the relevant risks and benefits and non-symmetry, as well as leverage, and so on, through the empirical study on Shanghai stock market , more profound understanding and knowledge of China's development status and characteristics of the stock as well as the market supervision system in China to provide a sound theoretical and empirical on the support of the promotion the healthy development of China's stock market, and help the vast numbers of shareholders on the stock market understanding and market risk awareness, as well as China's capital market with the global capital markets and financial system to provide rapid convergence and integration of important research and reference information. This paper is divided into four chapters. Introduction is the first chapter, the main paper on the research background and theoretical and practical significance of literature review, research ideas. Chapter second for the measurement model principles and sample data show that introduces ARCH models like the main theories and the main form of data and samples of the note. Chapter third of the Shanghai stock market yield empirical research, including data on the characteristics of the statistical sample tests, effectiveness of market testing, risk and yield tests and the volatility of non-symmetry testing. The final chapter is the research review and outlook.