Research On Price Behaviors Of Stock Market Of Efficiency, Volatility And Duration

With the fast and steady development of china's national economy,stockmarket is playing a more and more important role in china's ecnomicfeild.Stock market in china is more and more mature after developed abouttwenty years.However, compared with mature foreign stock markets,thereare still many problems with china stock market as an emerging ones,whichleads to large volatility and strong speculation.Stock market is a compli-cated ?nancial system,it's hard for us to fully understand the price behaviorof the stock market.On the basis of fomer research results,this paper applies as many asdata samples and precise econometrics methods and applies the dissertaioncombined theory with empirical to do research on price behavior's yields inchina stock market(E?cient,Volatility and Duration).E?cient,volatility and duration are three of the most important featuresof the stock market.The paper is comprised of ?ve parts as follows:In the?rst part,introduced the research background of the stock price behavior.Including the stock market history, the study of ideas, research methods,content and innovation.In the second part, the paper does an empiricalresearch on whether China Stock Market has attained Weak-form E?ciencythrough Random Walk Test and Runs Test.In the third part ,this paperdoes an empirical research on the volatility of ARCH model family. In thefourth part,this paper alse studys the duration of the stock market and hasempirical research.In the ?fth part, it has conclusion,such as, the lack ofe?ciency,aggregation of volatility and duration.