The Asymmetric Volatility Empirical Study Of Stock Markets Industry In Different Markets

Volatility has always been the core issue of financial and economic research in financial markets. Although short duration, the volatility of the stock market has been very high degree of concern since China's stock market borned. Under different market trend, fully understanding asymmetry feature of the Shanghai Composite Index and Shenzhen Component Index (hereinafter referred to as the market index) and the industry index is benificial to regulators and investors,and promoting the healthy and reasonable development of the financial markets.By studying the relevant literature of domestic and foreign, the paper uses asymmetric model of stock market volatility-TARCH model, data from October 2007 to June 2015 that dividing into two stages of a bull market and a bear market to carry out the broader market and industry indices empirical research. Through comprehensive comparative analysis, we found that first of all, China's stock market index exhibited significant volatility asymmetry feature in different market trend.There is a significant difference in the Asymmetric Volatility characteristics between the bull market and the bear market phase. In a bear market phase, the Shanghai Composite Index and Shenzhen Component Index exsited significant "leverage effect".The volatility asymmetry features of the Shenzhen Component Index is more obvious than the Shanghai Composite index,and leverage ratio coefficient more bigger than Shanghai Composite index and asymmetric volatility features also more obvious. In a bull market phase, the Shanghai Composite Index and Shenzhen Component Index exsited significant "anti-leverage effect", the size of both the leverage convergence means that fluctuations Asymmetric has little difference in both bull phase.Secondly, the sensitivity reaction of good news and bad news of the same industry is not the same in different market trend. The financial industry exsits significant fluctuation asymmetric features in both bull or bear market that leverage effect in bear market and the anti-leverage effect in bull market.The asymmetric volatility of IT industry is more significant in bull phase than the bear phase, while the fluctuations asymmetric features of the industrial sector is more pronounced in a bear market than in bull market. Thirdly, different industries also exsited significant differences in the reaction to good news and bad news in the same market stage. In a bear market phase, the industry in a relatively stable demand and the development of mature, such as an optional daily fluctuations in consumption and consumer,their industries asymmetric volatility features is more obvious than other industries in a bear market. In a bull market phase, influenced by the policy message of the energy industry,telecommunications services industry and the utility industry have a more obvious asymmetric volatility features than other industry.According to the results of empirical analysis, the paper provides advices to regulators from four aspects that strengthening information disclosure mechanism, reducing administrative intervention and increasing the punishment, accelerating the reform of the financial system and financial product innovation. As the same time,giving propose to investors from two aspects that familiar business cycle, industry diversification and a reasonable allocation of resources.