Analysis Of Chinese Stock Market Volatility And Influencing Factors

It is inevitable that there is the volatility of stock price in stock market. But the frequent and violent volatility makes investors difficultly to make correct decision of investment as well as influences the development of economy, even bringing out the economic crisis. Therefore, the researches on the volatility of securities market and the factors influencing it have been the important issue in the field of modern financial for a long time. Since the stock markets of our country were established, the stock price has been in abnormal fluctuating all the time. This article analyzes the characteristics of volatility in the stock market and, according to the theory of behavioral finance, discusses the behaviors resulting from the abnormal volatility in stock market with theory and demonstration. The research aim of the paper is that the new ideas and suggestions which solve the abnormal volatility of Chinese stock market can be put forward, and it may be helpful for investors, listed companies and government to prevent the abnormal volatility of Chinese stock market.This paper consists of five chapters. Firstly, the paper explains the background and the meaning of the research, summarizing the contemporary research about characteristics of the abnormal volatility and its effect factors, and introduces the main work. Secondly, the paper introduces the theory of the arch series model, and then we have demonstration analysis about characteristics of volatility of stock price. Thirdly, based on the theory of behavioral finance, effect of behavior on stock price volatility is analyzed, which is resulted from the deviation of irrational investors, and the quantitative relation between the earning rate of stock and the previous utility of loss aversion investors is established. Next, the effect of government behavior on stock price volatility is analyzed, such as Commercial banks' statutory reserve deposits, financial institutions' statutory deposit-loan interest rates, stamp duty and other national policy. Finally, we draw the conclusions of the present work, give the suggestions preventing the abnormal volatility of Chinese stock market and postulate the limitations of the paper. The main conclusions of the present paper are as follows. The volatility of Shanghai stock price has these characteristics: a rush thick tail, gathered fluctuations, volatility, long-term memory, and so on. The volatility of stock price has obvious leverage effect. Investors' psychological aversion deviant behavior of the loss and the expected risk behavior are important factors which influence the volatility of stock price; at the same time the behavior of the government is an important factor which influences the volatility of stock price.