China’s Stock Market Volatility And Its Influencing Factors

Fluctuations in the price of the basic properties of any one market, the stock market cannot be excluded. China’s stock market price fluctuations have large fluctuations, and highfrequency, this feature severely affect investors make the right investment decisions, but alsoaffect the sustainable development of the national economy.2005since the split sharestructure reform, China’s stock market ushered in a phase of sustained high, however, thefinancial crisis surfaced in late2007, China’s stock market suffered a significant slump andups and downs occur frequently. Although China’s stock market has experienced rapiddevelopment, but still in the immature stage by severe external influences, it is difficult to actas the role of the so-called economic "barometer", therefore, the study of stock marketvolatility and influencing factors, has been one of the issues of concern of many scholars.Thesis data April29,2005to June28,2013analysis of China’s stock market volatilityand its influencing factors. During this time the stock market has experienced the impact ofshare reform and the financial crisis, investors experienced the high and low mood, in orderto maintain economic stability, the government also introduced a series of policydevelopment. Therefore, in this period of government policy and the perspective of investorsentiment, the analysis of stock market volatility has some practical significance.First, the Shanghai Composite Index is more than a simple statistical study found that thedecline of China’s stock market rose more than5%of36times, more than3percent of161,the highest Change rate is as high as9.46%, the frequency of major fluctuations concentratedaround the financial crisis, fluctuations in the performance of " fat tail ", aggregationcharacteristics. Meanwhile after screening applications EGARCH (1,1) model analysis, thatthe volatility of the stock market at this stage, there are also asymmetric, negativeinformation than positive information generated greater volatility.Secondly, according to the basic trend of the stock market, the time period is dividedinto " bull " and " bear " two samples, analyze the impact of government policies and investorsentiment on the stock market volatility. When using event study analysis shows that, whenthe government introduced the " bad" policy impact on the stock market more than "good "policy, China’s stock market also shows asymmetry, while the stock market is in " bear market" status, advance disclosure of information may occur when government policies.Granger test based on VAR model changes at different stages of the stock market indices cancause investor sentiment, and investor sentiment can lead to changes in the stock marketindex, and in the overall sample, changes in investor sentiment and stock market indicescausal relationships.Finally, the empirical results are analyzed and recommendations given in the healthydevelopment of China’s stock market, noting that the lack of direction and future researchpapers.