Research On Volatility Of CSI 300 Index And Influencing Factors

Stock market plays an extremely important role in promoting the sustained and healthy economic development, enhancing corporate finance efficiency, optimizing the allocation of resources, avoiding market risks and so on. Volatility is an essential attribute of the stock market, moderate fluctuations can promote the prosperity of the market, sharp fluctuations in the stock market would undermine the allocation of resources, the price discovery function, severe and even lead to systemic risk. Therefore, it is significant to study the characteristics and influencing factors of stock market fluctuation, which is of great significance to maintain the stable operation of the stock market and maintain the healthy development of the macro economy.This paper selects CSI 300 index as the research object, the index can reflect the overview of the stock market’s fluctuation. Especially after the introduction of China’s stock index futures,as the subject of stock index futures, CSI 300 index is more representative.As used herein,this paper make Census X12 seasonal adjustment method on the exchange rate, CPI, PMI seasonal sample data processing; using of Price Volatility, amplitude, ARCH models family describes CSI 300 Index; using SVAR model to analyze of CSI 300 index affect on economic growth, monetary policy, prices indices, currency macro factors; on this basis, using the principal component method to make a plurality of macro factors into an index of indicators; using VAR model of investor sentiment, the micro factors,to analysis of fluctuations on CSI 300 index.Results show that: CSI 300 Index volatility is huge, with a fat tail, leverage, volatility clustering and other characteristics; common ARCH class model family, TARCH model fitting CSI 300 Volatility best; China’s stock market and the trend of economic development is basically the same; The macro factors on the fluctuation of the CSI 300 index is not significant; Investor sentiment on the fluctuation of the CSI 300 index is significant; Macroeconomic factors on the impact of investment sentiment is not significant.Innovation of this paper :(1) Research Perspective innovation. From three perspectives to explore the characteristics of CSI 300 index volatility: first, the evolution of track. From the evolutionary trajectory of CSI 300 Index, CSI 300 Index is divided into five stages of different characteristics. Second, the Event Studies erspective. Combined with specific events, analyzes the volatility characteristics and reasons of the CSI 300 index. Third, the return volatility perspective. Use ARCH Models volatility characteristics, the paper select the best fitting model.(2) Innovation of research methods. Establish SVAR model, in the same period of the analysis based on the correlation between variables and economic characteristics of the given model in line with restraint. The price rigidity between each other, the formulation of monetary policy lag, the Taylor rule are integrate into the SVAR model, empirical study of Shanghai Inter-bank lending rate seven days, purchasing managers index, the inflation rate, the RMB against the US dollar and the CSI 300 Index Volatility the effects. Using Principal Component Analysis multiple macro indicators dimensionality reduction, the macroeconomic factors included the first principal component multivariate analysis model contains investor sentiment.(3) Conclusions innovation. Through empirical analysis, comes to the conclusions as follows: CSI 300 index and the gross domestic product roughly the same trend, but the impact of macroeconomic factors on CSI 300 Index volatility is not significant; nor by macroeconomic factors affect investor sentiment indirect effects CSI 300 index fluctuation; nvestor sentiment on CSI 300 index volatility is more significant, but the effect will continue to weaken.