Comparison Study Of The Price Behaviour On Stock Market Between China And America

With the fast and steady development of China's national economy,the capital market is playing an important role in the development of our national economy .Owing to the continuous growth of China's stock market and the improvement of the management condition of listed companies. Stock investors have shared the investing performance resulting from the economy growth .However, stock market is a complicated financial system,it is hard for us to fully understand the price behavior of the stock market。The paper is written under the background above, and the author makes use of the knowledge learned of related theories and analytical methods in Statistics, Econometrics and Financial Engineering, and softwares of MATLAB, EVIEWS, STABLE and EXCEL .She has made empirical comparison analysis from the distribution characteristics of return rate, from dynamic behavior and the volatility characteristics about stock price in the stock markets both in China and America.The author of this thesis has conducted empirical analysis of the return rate datas of the stock markets both in China and America,based on her knowledge of the domestic study theories and methods and abroad.She has used as samples the composite index of ShangHai securities ,component index of ShenZhen securities,Nasdaq composite index and S&P500 index ,introduced stable paretian distribution to replace the normal distribution that people often used in the past to depict the return rate distribution of stock price. The result shows that return rate distribution of four indexes present abnormal characteristics of excess kurtosis and fatted tail ,we know that the abnormality of the stock market is stronger in China than in U.S.A, by J-B statistic quantity and the stable simulation test of stable distribution ,and this also shows that the stable simulation result is better than normal distribution.auto correlation function is used to test the characteristic of random walk of the four indexes in China as well as America .The result shows that neighbour daily return rate series can't refuse the random walk hypothesis,the random of daily return rate of the two indexes in America is stronger than those in China;but in a long term,the return rate has weak auto correlation ,what's more ,auto correlation of stock index in Amerca is stronger than those in China .The hurst index is computed by R/S analysis method and the result shows that there is no evidence to test that the composite index of ShangHai securities and S&P500 index are partial random walk ,but in 5% significance level ,component index of Shen- Zhen and Nasdaq composite index obey to partial random walk .By using ARCH -type models to simulate stock markets in China and America .We have got that stock markets both have volatility clustering and asymmetry ; good news and bad news have different effect on volatility.the volatility of the two indexes in China stock market is stronger than those in America .The absorbing ability of new information in America is better than it in China. At last, the paper draws the main conclusion in the researching process.