Chinese Stock Market Volatility Empirical Analysis

Volatility of the stock market has been the academic research. Especially young like China's securities market, the abnormal fluctuations in the stock market is often one after the other, even choppy. It is precisely because of the emergence of these fluctuations inspired us to explore mystery behind China's market volatility. Therefore, the study of the current biotechnology in China's stock market volatility, fluctuations in the stock market grasp of the law, the government regulatory departments, academia and the investors will have important theoretical and practical significance.China's stock market scored remarkable achievements after more than ten years of development. The last two years, the reform of China's stock market has made tremendous achievements, especially non-tradable share reform made some of the basic system structure improved, new blue chip companies listed so that the quality of listed companies has been greatly increased to some extent. But compare with the abroad maturity stock market ,China's stock market is still emerging market, one of the notable features is that the stock price was intense and frequent fluctuations, despite such intense and frequent fluctuations of the stock market in China to promote the development of high-speed played a positive role; However, it is undeniable that price volatility in the stock market distorted the price mechanism,resulting price is not more truly reflect the listed companies intrinsic value. Thus impeding the stock market to optimize the distribution of resources is the core function effectively.This paper is basis on reviewing the research results of the stock market's volatility and grasping the forefront of the contemporary academic theory, Utilizing various statistical methods to analysis the overall characteristics, the short-term factors and the long-term factors of stock market volatility,which reveals the volatility of the profound meaning, Finally, we will give some suggestion according to the situation of our country.Our basic conclusions are as follows :(1) China stock market's volatility has some basic characteristics with the "similar as the developed maturity stock market: Stock returns series is smooth, return on the distribution significantly differents from being an independent state, with the distribution having peak performance for the thick end of the feature; Clusters,outbreak and persistent of return volatility are obviously, for a period of time there will be continued volatility and another for a period of time there will be sustained slight fluctuations; The bad news arising from the volatility of return than the good news of greater volatility; Return followed risk premium; View from fitting parameters , EARCH (1,1) model is the best. This was followed by A-GARCH (1,1) model and TARCH (1,1) model, and the GARCH (1,1) model fitting the worst.(2) Within one month of price limits, securities index does not play its unique market stability, and not cool effectiveness of investor sentiment. But with the increase in trading, the price limits have an impact on index cards of fluctuations Gradually. In contrast to this, within one month of implementation of price limits the conditional index fluctuations have an impact on the basic play of their effectiveness, Along with the increase in trading, the price limits have an impact on the stock market gradually weakened. In the longer term, implementation of price limits before and after the volatility does mean a significant difference; Before the implementation of price limits to the volatility significantly greater than the price limits the volatility.(3) The Shanghai and Shenzhen stock markets in the pool for periodic auction and continuous auction which formed Mean, Maximum, Minimum, Standard deviation, Skewness and Kurtosis have a consistent pattern. Different pricing system under the volatility does mean a significant distinction, the volatility of periodic auction is to be significantly greater than the volatility of continuous auction.(4) Industrial output, the supply of currency fluctuations on the Shanghai stock index, Shenzhen stock index volatility of the impact is unanimous; historical stock market volatility has been a significant impact on the current volatility ,and the current stock market volatility is an important variable that forecasts their future volatility. Received from the VAR model, industrial output value of the historical volatility has significant impact on the Shanghai stock index and Shenzhen stock index volatility .But historical volatility of Shanghai stock index and Shenzhen stock index did not predict total industrial output volatility; the current volatility of Shanghai stock index and Shenzhen stock index is not uncertainty impact on the history fluctuations money supply.