The Study On Asymmetry Of Stock Exchange Volatility Based On Mechanism Of Short Sales

The asymmetric impact of stock market is that equal degree of good news and bad news has different impact on the stock market volatility. The research of stock market price fluctuation has always been a hot issue in academia, the domestic and foreign scholars have reached a variety of conclusions.but few issues involved whether the short selling mechanism has impact on asymmetric volatility. In March2010, the short-sale constraints loosed completely and introduced securities margin trading and stock index futures trading, so that I can take this opportunity to conduct a research on the issue. Firstly, this thesis analyzed the formation mechanism of asymmetric in China’s stock market volatility from the traditional financial theory and behavioral financial theory, then it made a brief introduction on asymmetric ARCH model. Dividing the period from January2,2004to September15,2013into four stages and using EG ARCH and TARCH model, I tested the asymmetry in stock market with daily closing point of SSE50Index, SSE180Index, Shenzhen Component Index and SZSE100Index. As previous studies, the empirical results show that China’s stock price volatility does exist a certain degree of asymmetry. while with the liberalization of short selling restrictions the asymmetry has relieved, and this has. to a certain extent, verified a claim that short-sale constraints is one of the reasons lead to volatility asymmetry in stock price. Finally the thesis put forward corresponding recommendations for policy makers and market participants with the conclusions above.