The Application Of Volatility And Control Model Of Stock Price In The Chinese Stock Market

In recent years, China’s stock market has achieved rapid development. The capitalization of the Chinese stock market is almost 800 times than 1992, various indicators shows that as an important part of Chinese socialist market economic system, the development of China’s stock market has entered a higher stage However, the stock market exists some bubble and the stock market shocks fiercely. Therefore, the study of the operating mechanism and the influencing factors of the stock price has become a major research topic of financial markets. In the long run, the volatility of stock price is determined by the intrinsic value of the stock and some macroeconomic factors. Therefore, this paper attempts to establish the control model of stock price to study whether adding macroeconomic variables changes the adjustment efforts of the intrinsic value to the stock price, this paper as well as study the relationship between macroeconomic variables and stock prices.Therefore, this paper firstly establish VAR model, and then use the function of Granger causality, impulse response and variance decomposition to analyze the relationship between stock prices and macroeconomic variables. The results showed that the money supply MO, the price index of investment in fixed assets and the financial expenditure has a significant impact on the stock price.The relationship between the stock price and the intrinsic value of the stock is called price adjustment process, we can establish a comprehensive model of price volatility to explain the relationship between the stock price and the intrinsic value of the stock, and try to build the control model of stock prices conclude the intrinsic value, stock price volatility and macroeconomic variables.Finally,we research the application of volatility and control model of stock price in the Chinese stock market.There are many methods to determine the intrinsic value, after the theoretical and empirical comparing, this paper use the intrinsic value added model of original capital to determine the value of the stock.Then this paper use the stock price, the intrinsic value of stock and the three macroeconomic factors to establish the control model,and this paper use regression analysis to empirically analysis. The result shows that after joining macroeconomic variables, the adjustment efforts of the intrinsic value to the stock price is strengthened. The result also shows that the money supply MO and the fixed asset investment price index has a negative correlation with the stock price, and the expenditure has a positive correlation with the stock price.The result comply with reality, so the result shows that the building of the model has practical and useful. The selected macroeconomic variables are controlled by the government and can be adjusted,therefore the model can be constructed to make some decision for reference departments to develop more effective macroeconomic regulation and the stock market regulatory policy.