Asymmetry And Time-varying: The Comparative Study On Volatility Futures Between Chinese And International Security Markets

The study on market volatility has become a hot topic in empirical finance in recentdecades. The normal fluctuations on the prices of securities are the prerequisites that the stockmarket achieves its three basic functions. And normal fluctuations are also making a positiveinfluence on the stock market’s sound growing. So the comparative study on stock market’swave characteristics and time-varying effect has a theoretical and practical significance.Firstly, the study examines the overall asymmetry of the International stock market,through the EGARCH model, using closing prices from December16,1996to Optember20,2011of the DJIA, S&P500, Nikkei225, HIS and Shanghai composite index, from which wearrive at a conclusion, that is, on the international stock market, the impact of bad news with thesame degree on fluctuation is greater. Moreover, we make a further comparison on volatility ofthe international security market, and also a dynamic analysis on the time-varyingcharacteristics between the American and the Chinese stock market. Finally, the phenomenon isexplained from such respects as the perspective of Chinese police, the improvement ofinformation disclosure, the quality of investors and so on.The thesis consists of six parts:The first part makes an introduction about the research background and the significance ofstudying fluctuation of financial market, generality of financial time series and also gives amore accurate definition of volatility asymmetry.The second part outlines the relevant research on asymmetric volatility of stock market indomestic and international publications, respectively.The third part is about the model in the analysis of volatility.The fourth part provides a comparatively analysis on the volatility asymmetry of somemain indices around the world.The fifth part focuses on the21industry indices. The sixth part analyzes the conclusion and polices proposed, and also gives an explanationabout volatility asymmetry in some respects.