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An Empirical Study On China's Stock Market Volatility, The Split Share Structure Reform

Posted on:2008-08-02Degree:MasterType:Thesis
Country:ChinaCandidate:Y Q XinFull Text:PDF
GTID:2199360242468946Subject:Financial engineering
Abstract/Summary:PDF Full Text Request
The state-owned shares and corporate shares were non-tradable in China which placed a great barrier to China stock market. The adequate solution of this problem is very important to its sound development. At the end of April 2005, after a long period of hot debates and plan attempts, the curtain on reform plan was lifted. So far, Equity Division Reform (i.e. EDR) has been carried out for more than two years and most of the listed companies have realized their reform plans successfully.The implementation of EDR made the public more confident in China Stock Market and was bulling the market greatly from the beginning of 2006 to the present. This article first carries on a general review of the history that equity division problem occurs and the process of EDR, then introduces the Auto-Regressive Conditional Heteroscedasticity Model (i.e. the ARCH model) carefully, at last analyzes the two-period results of empirical analysis of SSE 180 Index with the generalized ARCH model which sets the April 29th, 2005 as the dividing line of daily yield data when Securities Supervisory Association sent out the reform notice.According to a cross-reference to empirical analysis results before and after EDR, this article obtains many significant conclusions. First, the SSE 180 daily yield sequence has a remarkable leptokurtosis and heavy-tailed distribution characteristic, does not obey the normal distribution and has clustering phenomenon. Second, on a long view of the data, the expected revenue is not related to the risk undertaken by the investor and so we can say China investors are irrational. Third, the attenuation coefficient of fluctuation is smaller than 1 and therefore the sequence is steady and the GRACH model has the predictability. Fourth, the long-term memory of fluctuation is strengthened further and EDR does not reduce such a trend. Because the attenuation coefficient has been very close to 1, an information attackwill have a long-enduring influence.
Keywords/Search Tags:Equity Division Reform, fluctuation, ARCH model, long-term memory
PDF Full Text Request
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