The Skewness Of SSE Composite Index Volatility

In the empirical study on in the economic area, the economic events as regarded as natural events and the economic data are considered to be following normal distribution. Obvious, applying such a method to the analysis of stock market index will produce a great fallacy, since a variety of studies on stock market index suggest that the volatility of the stock index often shows positive skewed distribution or negative skewed distribution instead of following normal distribution. A greater fallacy might be created when the stock market carries a large amount of information. This thesis is a study of SSE Composite Index Volatility Skewness. The thesis first analyzes the stage characteristics of SSE Composite Index Volatility Skewness under the martingale condition, which followed by an empirical analysis of the factors that affect SSE Composite Index Volatility, with the scale of the securities investment fund transactions as the main explanatory variables. The first part of the analysis comes to the conclusion that the SSE Composite Index Volatility Skewness remains to be non-zero figures in a long-term basis and the stage characteristics of the SSE Composite Index Volatility Skewness are distinct; the division of stages is similar to the volatility cycle, but the two could hardly synchronize with each other. Meanwhile, SSE Composite Index Volatility Skewness shows different statistic features in different historical periods and the differences are obvious. However, with the gradual consummation of the market structure and the improvement of the market mechanism of the Shanghai Stock Exchange, SSE Composite Index Volatility Skewness shows the sign of convergence. The second part of the analysis concludes that the scale of the securities investment fund transactions, one of the major factors of the SSE Composite Index Volatility Skewness, has relatively great influence on SSE Composite Index Volatility Skewness. Under the influence of transaction scale and the entire market capacity of Shanghai Stock Exchange, the scale of the securities investment fund transactions still exert great influence on SSE Composite Index Volatility Skewness and the influence is magnified by the expansion of the capital market.