The Research On Asymmetric Stock Market Volatility On The Basis Of Stock-level And Market-Level

Asymmetric volatility phenomenon( AVP)refers to the stylized fact that negative return shocks tend to imply higher future volatility than do positive return shocks of the same magnitude. In response to the asymmetric volatility phenomenon of most financial assets, many scholars have conducted in-depth research, and proposed many explaining theories, such as leverage theory, time-varying risk premium theory(volatility feedback effect), and so on. But it is still an open question about what is the most important reason for asymmetric volatility phenomenon until now, there is no consistent explanation. Besides, almost all domestic scholars exam the AVP from market index level, while no one study it from the stock level.So, in order to resolve the long-exists difference and fill the research gap. This article studies the AVP from an indirect perspective, which is different from most previous researchers who study specific fac tors' influence on AVP directly. According to the risk classification theory, company risks can be classified into company-specific risk and market-systematic risk, so all AVP contributors can also be splited into two categories: individual-specific factor and market-systematic factor. This paper establishes two new AVP models on the basis of traditional conditional volatility model: two-stage asymmetric volatility regression model and three-stage asymmetric volatility regression model, conducts the research with both stock level(60 sample individual stocks) and market level(2 market indices), and tries to figure out stock market's AVP is more attributed to individual-specific factor or market-systematic factor. While, leverage theory reflects individual-specific risk, time-varying risk premium theory reflects market-systematic factor. So, this study's attempt can provide new guidelines for solving asymmetric v olatility research differences.Conclusion of this paper holds that: First, both individual stocks and market index have significant asymmetric volatility phenomenon. That is, in domestic stock market, the same magnitude negative return shocks(bad news) can lead to bigger volatility than do positive shocks. Second, both individual-specific factor and market-systematic factor have significant impact on asymmetric stock market volatility phenomenon. But most importantly, compared with individual-specific factor, market-systematic factor is more influential on asymmetric volatility. So, this paper is more support the time-varying risk premium theory which reflects market-systematic factor, not leverage theory which reflects individual-specific factor. Last but not least, different from foreign market, domestic individual stocks' asymmetric volatility is stronger with firm size decreas e. In fact, this paper finds that the smaller the individual stock market value, the greater the degree of asymmetric volatility. And this feature is just the same as the reality of domestic stock market: small & medium plate and chinext's stocks are more flunctuation.