The Positive Research On Asymmetric Volatility In China's Stock Market

The study on market volatility,especially on the volatility of stock market has become a hot topic in empirical finance in recent decades.Researehers and Practitioner realized that volatility was closely related to risk and the relation has been extensively applied in risk management.In the academic perspective,plenty of empirical evidence indieates that the variation of stock prices display some features,such as volatility clustering,volatility persistence and leverage effeets.The purpose of this thesis is to investigate the phenomena of volatility asymmetry in Chinese stock market.Being a new emerging market,Chinese stock market is often called"information market","policy market".Impacted by the institution transition,its violation shows temporarily or periodically.Hence this article on China's Shanghai and Shenzhen exchanges in the index yield to the overall sequence of research at the same time,Basis for ICSS rule (that is, iterative and total square law) will be on the The Shanghai Composite Index,Shenzhen Component Index the total sample is divided into four stages of data to analysis.The empirical results show thatChina's stock market in general or both phases of its volatility asymmetric features are very obvious,Only with foreign mature market compared to China's stock market volatility there is a non-symmetry of the emerging markets of the unique characteristics.from the empirical analysis of articles us can draw:on the whole,Shanghai and Shenzhen exchanges demonstrated the volatility of non-symmetry characteristics of the mature market with foreign non-volatile features of the same symmetry,only response to this volatility asymmetry coefficient characteristics of the leverage relative to smaller;From the analysis stages,in the first phase of this period, China's stock market volatility displayed by the non-symmetry of features and abroad mature market fluctuations asymmetric features the contrary,that is, during this period China's stock market volatility there is the opposite of the "leverage effects";in the second, third and fourth stages, China's stock market fluctuations and fluctuations in foreign mature markets, like showing a non-symmetry of the same characteristics.That is, the negative impact caused by fluctuations in the stock market is greater than is caused by the impact of stock market volatility.Finally,empirical findings are explained in the perspective of Chinese policies,the improvement of information diselosure,quality and structure of investors,as well as psychological characteristics of the investors.And some administrative recommendations are raised,and from several aspects of the above analysis made a preliminary explanation, and make a recommendation.What's more,based on empirical researches,the shares of speculation in China's stock market are decreasing,the investors are being more rational,however,and the status of our market is still behind industrialized countries.So there is still a long way for CRSR to go in nominalizing listing companies,perfecting the dropping out mechanism,folstering institutional investors.Better known the characters of our stock market,investors could evading risks,provide policy advice on decision making for the government,only to benefit our stock market's prosperity and development.