An Empirical Study Of Volatilities In China’s Stock Market Under The Financial Crisis

This paper takes the Shenzhen Composite Index and Shanghai Composite Index for example, we separate the return series into three stages that are before,during and after the financial crisis.And we use the GARCH class models to research the influence of financial crisis to volatilities of China’s stock market.First,the forms of the errors’distribution of GARCH class models were compared,we found that the models that the errors obey the generalized error distribution fit best.Then, under the assumption that the error term obeys generalized error distribution, we establish the GARCH model, GARCH-M model and TGARCH model in order to analyze the return series of Shenzhen Composite Index and Shanghai Composite Index in three stages of the financial crisis, we found that the return series of the Chinese stock market in three stages of the financial crisis have shown a fat tail,volatility clustering, stability and non-symmetry; before the financial crisis, the Chinese stock market is in line with the high-risk and high-yield characteristics;while during the financial crisis,the Chinese stock market has characteristics of the minimum income, the maximum volatility, indicating that high-risk does not mean high-yield, and the bad news have the biggest impact on China’s stock market volatility,and non-symmetry characteristics of volatility significantly increase;after the financial crisis, the risk of the Chinese stock market increases and the return of it becomes low,and Chinese stock market’s volatility information from the early days reduces, the volatility persistence and long memory characteristics of the stock market weaken,which means that short-term volatility increases, the volatility persistence weakens, short-term risk increases in the Chinese stock market.