Research On The Stability Problems Of China’s-a Stock Market

Under the "Quantile Regression Technique" theoretical framework, our research focuses on the theme of "Market Stability", and launches the study, from the mathematical point of views. The main research contents include the following three aspects:The first part is about a new definition on the "Market Stability". Considering there is a lack of consistency definition or category on the "Market Stability", or more broadly, the "Financial Stability", both in academia and in practice. Before the formal research, this study presents an easy to understand and quantify definition about the "Market Stability", from the perspective of the volatility.Secondly, our research designs the test method of the Market Stability. This definition above coould be viewed as the critical principles of the "Market Stability". According to that, then we design the test process:here we use the market volatility to denote changes happened on the stock market of various conditions. Using the quantile regression approach, we propose the "Market Stability Test-Model", which also passes the sensitive test to ensure that different variables selected do not change the test results significantly. In addition, the "Leverage Effect" issue is fully reflected, we do not only discusse "bad news" which is widely concerned in the previous research, but also, we considered the "good news", this method of work makes our research much different from the traditional ones.Then we take China’s-A stock market as our studied object of the empirical analysis part. We find that:Since2003, China’s-A stock market has experienced changes for several times from the unstable state to a stable one.Also, we find the substantial evidence for the influence brought by the Sub-prime Mortage Crisis in2007, and the "Package Plans" adopted by Chinese government to rescue.In the third part, we discuss the instability factors in the stock market. Easily to know, the main performance of the instability is the amplified influence from the systemic shock in the tail. Without using the methods of Copula or EVT, we describe this "Tail Dependence" by a new concept that domestic researchers rarely used----the "Coexceedent Effect" and also its quantitative form, the "Coexceedence", so that, there’s no need for any assumptions made on the data’s distributions.We think those factors may be related:the impact of financial crisis, the asymmetric shocks of the short-term liquidity, the impact of the heterogeneous, and the Coexceedence in the pre-period. Considering of that, we put forward an "Asymmeric Quantile Coexceedent Effect Model", this model can be used to analysis the dynamic effect of the above four factors, especially to the tail data. The empirical results shows that: Rather than a constant one, with the increasing of the Coexceedence degree, the influence of each factor is deepening,...