Complex Fluctuation Characteristics And Cause Analysis Of China Stock Market Returns

The stock market returns is an important variable, and it is basic and important to other analysis to finance market. China stock market has developed greatly not only in policy improvement, but also in trade regulations. Moreover, the investment concept and method of investors also gradually become mature, approaching effective market. As China stock market is still in the development stage, the fluctuation is more complex. The comparison research between home and abroad have made a lot of achievements. In summary, China stock market shares the same general characteristics as foreign stock markets, and also has its own special character.This paper selects seven index returns in China stock market as the study object, and states that stock market returns have different statistical characteristics in different time span and different time interval by basic statistical analysis. On the basis of basic statistical analysis, this paper selects EGB and SGT from the distribution functions that analyze foreign stock markets, compares these two kinds of distribution with other various distributions, and gets a conclusion that EGB distribution is more suitable to describe the high peak and fat tail character of China stock market. This paper also adopts DFA inspection method to analyze the daily, weekly, and monthly returns of the seven indexes, and summarizes that the overall stock market returns have the characteristic of long-term positive correlation. By introducing GARCH model and analyzing stock market daily returns, this paper states that China stock market has a negative Tuesday effect. This paper proves that China stock market has strong leverage effect and the good news leverage effect is less than bad news leverage effect by the models of TGARCH and EGARCH. Finally, after analysis of the seven indexes by Granger Causality Estimation, the paper proves that China stock market has spillover effects of Shanghai to Shenzhen exchanges. The results of this study indicate that China stock market has the five characteristics of high peak and fat tail, long-term memory weekday effect, leverage effect, and spillover effect.Through empirical analysis, this paper illustrates that China stock market has the five characteristics above, and analyzes the reasons for these characteristics, the impact of macro policy, news, and different behaviors of investors on stock market non-linear characteristics. This research is helpful to drive China stock market to gradually turn into effective market and make the development more positive.