An Empirical Analysis On The Volatility Of China’s Stock Market

Transforming the mode of economic growth is an important issue in our country at present.Capital market is an important part of economic society.Only by giving full play to the resource allocation function of the capital market can we play a positive role in promoting the economic development of our country.As a new development of only more than 20 years markets,China’s stock market has its immature part.There have been many policy adjustments to the stock market.On the face of it as a "Macroeconomic barometer" of the role does not seem so obvious, the stock market and the complexity of the economy is also evident.This paper studies the factors that affect the stock market volatility in China. In view of the respective characteristics of the relevant factors affecting the stock market volatility, the factors affecting the volatility of the stock market are analyzed by using principal component analysis, VAR analysis, E-G test and Chow test. By using qualitative and quantitative methods to explore the main factors that affect the volatility of the stock market, and then analyze the main factors that affect the volatility of the stock market.First of all, this paper uses principal component analysis to reduce the dimensions of many macroeconomic variables, and to transform several macroeconomic variables into several representative comprehensive economic indicators on the basis of the loss of data information.Secondly, using the VAR analysis method, the comprehensive economic indicators and the stock index and the index of the stock market issue system are analyzed by VAR. The main factors that influence the stock market fluctuation are selected:the interest rate factor and the stock market system event.Finally, according to the relationship between interest rate and stock market volatility by the use of E-G test to carry on the empirical analysis.The results show that the interest rate and the volatility of the stock market into a positive relationship.The empirical results deviated from the theory of the phenomenon.This paper gives analysis and explanation from the market interest rate system and stock market investor structure.In the event with the fluctuation of the stock market, this paper uses the method of Chow test.The results show that the generated structured impact on the volatility of China’s stock market events are:price limit, IPO financing, funds and equity division reform.In view of the above, this paper from China’s IPO system, transaction system and market structure system analysis and interpretation.Through empirical analysis, this paper concludes that interest rate and stock market system have a great impact on China’s current stock market.It reveals that there are still many problems in China’s stock market.I put forward some suggestions from the aspects of interest rate market, registration system reform, investor structure reform and so on.