Study On Volatility Of Chinese Stock Market

The research about stock market volatility is a significant project in the study ofmodern finance.The volatility in Chinese stock market is one of the great drasticfluctuations in the world, so on the research about volatility in Chinese stock market isparticularly important. So for, there are two general orientations concerning the stockmarket volatility: one is the study about the cause of the volatility, that is why thevolatility forms; the other is research on the inherent rule of the volatility, namelyvolatility characteristics. This paper mainly focus on the inherent rule of the volatilityand characteristics, that is, the second orientation of volatility.This paper alongs the main line of the theory of modern finance, which separatelyfrom the effective market theory and fractal market theory, and based on ARCH modeland R/S analysis. We can find that is obvious characteristic of peak and thick tail,volatility gathered exists in Chinese stock market via the statistical analysis of priceindex. Volatility asymmetric exists while using ARCH model for empirical research andlong-term memory and persistent exists via R/S analysis. The volatility of Shenzhenexchange is significantly greater than that of Shanghai exchange from the horizontalcomparison; and the volatility of the two obviously increased after the reform of equitydivision from the longitudinal comparison.