Based On Expected Information Amendment Of The Chinese Stock Market Fluctuations In Non-symmetry

Volatility of empirical research in recent years, important areas of finance, the volatility of the financial sector of the volatility of the stock market the most typical.Stock market volatility has many characteristics:volatility clustering, volatility of the leverage effect, volatility persistence and more.Most of the literature, the leverage effect of stock market volatility is not expected when considering only the information, that is, the leverage effect on the stock market, the paper said the traditional leverage, without considering the information had been expected, it is because they assume the market in the study Is expected to complete the absorption of information.Chen Langnan (2007), nine countries in the study of the stock market correction based on known information leverage effect, we found that the market had expected information based on the information is not expected to reverse the corrections are presented as amended. Based on this, the volatility of the leverage effect of stock market research.The development of China's stock market has been more than twenty years of history, in the process between the stock market and macroeconomic changes are subtle, and as I stock a new line of features, which show a certain stage.Therefore this paper, on China's stock market index return series, while doing general research, according to Liu Shaobo (2005) study the stock market and macro-economic relationship between China's "three-stage evolution path" analysis, China's stock market is divided into three stages Phase analysis.The empirical results show that China's stock market in general or whether there are significant stages of its traditional volatility leverage effect, and more importantly, significantly, it indicates that China's stock market, whether in whole or in three stages exist in the information based on the expected Of leverage.From this we conclude that the empirical part:On the whole, China's stock market performance out of Asymmetric Volatility and foreign mature markets like the Asymmetric Volatility, and show information based on the expected leverage effect has been studied with Chen Langnan States stock market correction based on information known as leverage effect Only reaction that leverage Asymmetric Volatility coefficient is relatively smaller;From the stages of analysis, in the first phase of this period, the volatility of the stock market have shown an asymmetric volatility in mature markets and foreign Asymmetric contrast,andγ2＜0,During this period that this information is not expected to have expected a positive correction of information;In the second, third and fourth stage, China's stock market fluctuations and volatility in mature markets like the foreign shows the same characteristics of the non-symmetry, andγ,1γin turn reducing. Show that the composition of stock market speculation continued to decline, investors continue to become more rational and mature markets like the development of the market...