The Asymmetry Of Stock Market Volatility Empirical Research

There are a lot of characteristics in the volatility of the financial market. Asymmetric impact of stock market is that the equal degree good news and bad news have different impact on the stock market volatility. This thesis conducts an in-depth empirical research on the Asymmetric volatility of the Chinese stock market, which results in a conclusion on the contrary to foreign stock market, that is, on the stock market of China, the impact of good news with the same degree on fluctuation is greater. Finally, the phenomenon is explained from such respects as investor's expectation, structure, psychology and transaction mechanism, etc.The thesis consists of six parts:The first part makes an introduction about the significance of studying fluctuation of financial market, generality of financial time series represented by earning ratio of the stock, and point out the research purpose at the same time.Second part introduces the relevant research on asymmetric volatility of stock market conducted by domestic and international scholar.In the third part, the model and method for estimating volatility are discussed.The fourth part focuses on the reacting characteristics of China stock market to information, based on comparison of the foreign stock market.The fifth part is main part of this thesis. First of all, it examines the asymmetry of Chinese stock market on the total sample block, using EGARCH and APARCH model respectively. Then it makes a general statistical analysis and relevant inspection. Secondly, it divides the stock market of China into three stages, and makes estimation at each stage by using EGARCH model. Finally, it makes the asymmetric estimation with high-frequency data in a specific period, using the method of realized volatility and the line model.The sixth part analyzes the conclusion and policies proposed. It explains theunique effect of the stock market of China on the basis of structuring the information effect curve, and also gives an explanation about the characteristics of the China stock market which is policy-oriented.