The Comparative Study On The Fluctuation Of Sse Composite Index By Different Frequency Data

Academic circles mainly select one frequency data naturally when doing the researches on the fluctuation of stock index,seldom consider that using different frequency data may get different conclusions. This thesis compares the fluctuation of SSE(shanghai stock exchange) composite index by selecting different frequency data.Firstly,the thesis analyzes the diversity about studying the fluctuation of stock index by using different frequency data from the perspectives of technical analysis and basic analysis qualitatively. And we study the fluctuation pattern of the stock index fluctuation and the stock index fluctuation which macro economy effects respectively by technical analysis and basic analysis. Then,selects the daily return,weekly return and monthly return time series of SSE composite index from the perspective of technical analysis,applies GARCH model,GARCH-M model and TARCH model studying a comparison of the fluctuation pattern of SSE composite index between short term and mid long term on the foundation of comparing the basic statistics,and gets the following conclusions:1. The investment value in mid long term is higher than that in short term,however the unit investment risk in mid long term is lower in shanghai stock market. 2. The lasting time of the external shocks in short time is longer than that in mid long time. 3. The positive correlation between return and risk is significant in short time,but not significant in mid long time. 4. The leverage effect exists in short time in shanghai stock market, however doesn't exist in mid long time.According to the theories of basic analysis,the thesis selects monthly data and quarterly data to compare the short and long effects which macro economy has on the fluctuation of SSE composite index by applying co-integration test and granger causality test,and gets the following conclusions: 1. The co-integration relationship exists between SSE composite index and GDP,M2,Interest rate and CPI,but doesn't exist between SSE composite index and Exchange rate in short time ; The co-integration relationship exists between SSE composite index and GDP,M2 and Interest rate,but doesn't exist between SSE composite index and Exchange rate,CPI in long time. 2.GDP has the most influence on the SSE composite index and it is followed by M2,CPI,Interest rate in the effects,and besides GDP which has a negative effect on SSE composite index,M2,CPI and Interest rate all have a positive effect on SSE composite index in short time;In long time,Interest rate has the most influence on the SSE composite index and it is followed by M2,GDP in the effects,and Interest rate has a negative effect on SSE composite index,but M2,CPI and Interest rate all have a positive effect on SSE composite index. 3. Granger causality test shows that the bilateral causality only exists between Interest rate and SSE composite index both in short and long time,and the lag phase is 12 months(4 quarters).The study indicates that using different frequency data will get different conclusions when doing the researches on the fluctuation of stock index. Meanwhile,aiming at the problems in Chinese stock market manifested in the empirical study,the thesis gives some related suggestions respectively from the perspectives of investors,supervision departments and governments.