The Econometric Analysis Of Stock Market Volatility

Volatility of stock is the basis of stock market for the existence and development, and it is necessary for mature stock market to have moderate fluctuations. Reasonable volatility of stock price is the premise for investors to obtain investment income, and plays an important role in stabilizing and developing the stock market. On the contrary, abnormal volatility of stock price will have many negative effects to stock market. First of all, it is difficult for investors to make the right investment selection when the stock market has frequent volatility of stock price; Second,frequent volatility of stock price is not good to economic development. Therefore, the volatility characteristics of stock market and the influencing factors on stock market have been one of hot topic researches in the field of modern finance. Though Chinese stock market has been developed nearly twenty years, she is still an emerging market which is in a transitional stage of development; Chinese stock market has been accompanied by dramatic fluctuations since the establishment of Chinese stock market. And the analysis of the volatility characteristics of stock market has an important role in stock market healthy, stable and efficient development. This article focuses on the characteristics of stock market volatility since the equity reform in 2005, and makes econometric analysis on some main factors that generate volatility in stock market. The paper wants to provide some new ideas and aspects in our stock volatility theory, put forward suggestions for investors to make reasonable investment selections, raise some requirement for listed companies to perfect financial information, and propose some reasonable investment advices some references to regulate and develop the stock market.This paper is divided into five chapters. The first part proposes the background and significance of paper. The second part collects researches about the characteristics of stock price fluctuations and influencing factors in domestic and foreign, and puts forward research ideas and framework of contents in this paper. And the paper describes the volatility of stock market-related theory. The third part uses GARCH type models and asymmetric ARCH models to make empirical analysis of the volatility of the stock market and get the characteristics volatility of our stock market. The fourth part analyzes different investor behaviors affect the volatility of stock market from investor behaviors. The fifth part uses these empirical results and proposes some reasonable suggestions.