Stock Market Volatility

This thesis uses several ARCH models,systematically compares stock price fluctuation characteristics in different markets and different industries.It analyzes reasons from the policy factors,investors behavior and the market mechanism itself, and makes policy recommendations in the final.In this thesis,we analyze the features on the stock market in china. Then we reviews the main ARCH models in history and current situation at home and abroad。We chiefly introduces the study of financial market fluctuation in history and current situation and clearly points out the ideas,research methods in this treatise. This part also explains the theory and practical significance.On the basis of, it analyzes the features of stock market fluctuation,and further researches into and compares the fluctuation characteristics between Shanghai and Shenzhen Stock Exchange,Furthermore it respectively describes fluctuations characteristis and the difference between them.Then we explain the reasons that result in the stock market fluctuations 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 characteristics of stock market in China. Secondly it explains the internal mechanism of market and investor psychology how to influence stock market,finally three factors together led to some unusual fluctuations in the stock market.At last,The paper puts forward policy recommendations based on the previous analysis. It points out that China's stock market should insist on the marketization road,further strengthens and promotes financial innovation and takes improving market microstructure and introducing "market makers" such measures. Beside it was also put forward to develop institutional investors in order to stabilize the stock market.