The Study On The Features, Reasons And Countermeasures Of Chinese A-Share Market Volatility

This thesis uses several ARCH models, systematically compares stock price fluctuation characteristics in different markets, different sizes and different ind ustries. At last it analyzes reasons from the policy factors, investors and the m arket mechanism itself, and makes policy recommendations in the final.This thesis is divided into five parts:The first part chiefly introduces the study of financial market fluctuation in history and current situation and clearly points out the ideas, research method s in this treatise. This part also explains the theory and practical significance.The second part reviews the main ARCH models in history and current sit uation at home and abroad.The third part is the focus of this treatise. This part analyzes the features of stock market fluctuation, and further researches into and compares the fluctu ation characteristics between Shanghai and Shenzhen Stock Exchange, large cap italization stocks and small capitalization stocks in different industries. Furtherm ore it respectively describes fluctuations characteristics and the difference betwe en them.The fourth part explains the reasons that result in the stock market fluctua tions characteristics from three aspects. Firstly, it starts discussion from the fact that Chinese stock market is a "policy market "in which is influenced by the policy of the authorities. And then analyzes factors result in the fluctuations c haracteristics of stock market in China. Secondly it explains the internal mecha nism of market and investor psychology how to influence stock market, finally three factors together led to some unusual fluctuations in the stock market.The fifth part puts forward policy recommendations based on the previous analysis. It points out that China's stock market should insist on the marketiza tion road, further strengthens and promotes financial innovation and takes impr oving market microstructure and introducing"market makers"such measures. B eside it was also put forward to develop institutional investors in order to stabi lize the stock market. Finally, it explains the direction for further research.