Researching The Impact Of News On The Volatility Of China Stock Market

The research of volatility of financial market is an important part of modern financial research. Financial market volatility in financial markets including financial asset price volatility, financial market rate of return volatility in financial markets, financial assets volume volatility, etc., especially stock return volatility has been the focus of research scholars at home and abroad. The research of financial market returns volatility has also reached new developments, one of which is the important theoretical and practical development of asymmetry of fluctuation of financial market returns, which means the asymmetry reaction of volatility of financial market to good and bad news, in other words, the affection of the same level of good and bad news to volatility of financial market differs from each other. A number of studies have suggested that the stock market return fluctuation has asymmetry phenomenon. More over, a lot of abroad research has found that there is common existence of asymmetry of volatility of abroad stock market returns, and the affection of the same level of bad news will always exceed that of good news. It justified that good news and bad new have different impact on the volatility of Chinese stock market. Among all these developments, the asymmetry of volatility has attracted tremendous attention of researchers, it is essential to the research of derived financial asset pricing, risk control, stock market monitoring and so on.This paper uses the GARCH-type models, aims to fit the return series of Shanghai Composite Index and Shenzhen Component Index(which from Jan.1997to Apr.2012). Here from two aspects to expansion:one is to set up the GARCH-type models, and analysis the volatility of earnings; and the second is to identify the structural change points of the samples, and introducing that points into the GARCH models in the form of dummy variables, and then fitting again, comparison the results of the fitting before and after.After the stock market volatility of the stock returns of the empirical research analysis draw some conclusion:China’s stock market fluctuation asymmetric phenomenon has always been there, whether into structure mutation point fluctuating asymmetry is very significant, Using ICSS algorithm to get the structure change point, and introduce this into the GARCH models, we find that volatility persistence dropped considerably, not significant for1. From the fitting result, EGARCH model is best for data fitting degree, this from another aspect also showed the Chinese stock market exists the volatility asymmetric phenomenon. Finally, according to these phenomena of the stock market, puts some policy suggestions.In this paper, it is not using one single GARCH model for analysis, but compared with more than one model to fitting, and then analyzes its one by one, to find out the best fitting effect model. And the structural change point as a dummy variable is introduced into the volatility model, further analysis the asymmetry. But where there are a number of deficiencies, such as chooses index number less, not considering the volume that has great influence to volatility.