Stock-price Fluctuation Analysis Research Of Commercial Bank Of China

At present the research for the volatility is mainly concentrated on the market index of Shanghai and Shenzhen. Taking into account the rapid development of China’s commercial banks, which is the main body of China’s financial system in the country’s investment and financing systems. This paper uses commercial banking sector to start to explore the characteristics of stock price volatility, which is important for our empirical study of stock market fluctuations in the plate.In Chapter III, Chapter IV of this paper, we selected the stock closing data of a total of14listed commercial banks in China (Ever bright Bank, Agricultural Bank of China market relatively late, the sample was relatively low, not easy to study) in the September25,2007to June20111, Using time series methods to analyze this stock price volatility, yield basic descriptive statistics, and their stock returns for GARCH model family model to analyze the characteristics of fluctuations in its stock. Finally, in Chapter14we select the five commercial banks simultaneously commercial banks listed in the A shares, H shares, two of which on the stock market price volatility linkage between cointegration, Granger causality for empirical research.This paper from an empirical point of view, with the use of modern financial measure (such as time series, autocorrelation, conditional heteroskedasticity, cointegration, Granger causality test, etc.),is divided into six parts, the preamble describes the choice of background papers, research papers meaning, domestic research and thesis research objectives, methodology, content, and the second main sort of the theory of time series analysis, including time,The concept of sequence, conditional heteroskedasticity model introduction, the theory of cointegration, Granger causality test and so on. The third part is a descriptive statistical method for commercial banks, stock prices, stock returns, stock prices or other empirical analysis. The fourth part is a auto-correlation method using GARCH family model to a listed commercial bank stock returns and volatility correlation, aggregation, leverage and stock price volatility of the relationship between risk and return. Part V, mainly choose to synchronize the A, H-share market commercial banks, their correlation, cointegration, Granger causality research. Part VI is the conclusion, a summary of the whole article, and the corresponding lack of policy and research.