The Research On Policy Factors To The Return Volatility In Stock Market

China’s stock market, as an emerging stock market, is not mature enough, so the government should adopt necessary policies to stabilize the stock market in order to reduce investment risk. However, the government makes policies too frequently, which, on the contrary, increases the investment risk of our stock market. As a result, China’s stock market presents a characteristic of "policy market". This paper examines the impacts of policy factors on the volatility of the stock market from perspective of industry, which enriches current research and also have reference value for investors and regulators.Firstly, this paper makes a clear definition to the research range. And based on elaborating the impacts of three aspects, including monetary policy, fiscal policy and other economic policies from the related research at home and abroad, to stock market volatility, we theoretically introduce the measuring methods of the stock market volatility and the econometric model we use in this paper. Secondly, we make the collection and sorting to the sample data of policy and industry, and then use GJR model and the daily returns of the monthly standard deviation on behalf of the industry volatility in the stock market, and use the dummy variables to assign policy sample and empirically analyze the impacts of policy factors on the industry volatility in the stock market. Lastly, we draw appropriate conclusions.Through the study we find that the volatility of stock market in various industries represents the characteristic of negative asymmetry. All industries have lagged effects. Electronics industry and financial services industry have weak absorptive capacity to policy,so that volatility persistence longer. Light-manufacturing industry, public utilities industry and transportation industry are greatly influenced by policies, while equipment industry and financial services industry is less affected by positive policies. The volatility of all industries reaches the maximum in the first month after initiation, and then drops suddenly in the second month, and finally tends to flatten out. Moreover, the volatility of most industries caused by policy impacts will maintain five months.