A New Study On The Relations Between Psychological Barriers And The Rate Of Return Of Chinese Stock Market Index

As Chinese economy gets closer with its stock market, the latter one better stand for the economy weather than ever before. Thus, it is research on stock index that becomes hot and makes sense. Through this thesis, I run the test whether market participants in stock market hold the psychological barriers, using data of SHSE (Shanghai Securities Exchange) Composite Index and SZSE (Shenzhen Securities Exchange) Component Index. And how the psychological barriers impact on the ROR of the indices, is the other chief exploration. Modeling, econometrical test and simulation test are the main methodology.This thesis widens the research scale of this field, including daily data and high-frequency data. It redefines the sorts of Psychological barriers in stock market according to series of tests. The assumption that there are higher-frequency distributed central symmetrical shape and dissymmetrical shape, was proved by the evidence from a series of empirical tests. Based on the ROR samples, it examines the impacts absolute index and MA index hold on the ROR of index, using Dummy ARMA and Dummy GARCH models. Following the statistics analysis on mean equation and conditional variances equation, conclusions were set.Referred to the test of the impacts absolute index psychological barrier hold on ROR of the index, it comes out that the test was proved by the historical facts. The SHSE Composite Index has got a stronger psychological impact and reacts faster than the SZSE Component Index. It also suggests that the 100 psychological barrier best suit the time window between July 3rd, 2006 and February 29th, 2008.Referred to the test of the impacts MA index psychological barrier hold on ROR of the index, 60 day MA line attracts index around itself and 120 day MA line turns into a support line once the index upward-crosses the line.