Empirical Research Of Price Volatility On Chinese Stock Market

Price volatility on the stock market will cause the stock market uncertainty,resulting in the risk of the stock market,stock price changes reflect the quality and efficiency of the stock market.Chinese stock market started late,relatively developed countries is not mature,currently one of the main research questions in the field of finance is the fluctuation of the stock market prices,to some extent in terms of all aspects of the national economy can run by reacting to fluctuations in stock prices,the study of the internal laws of the volatility of the stock market seem significant.This study is divided into two parts:First,the impact of factors on stock price fluctuations;the second is research on the intrinsic characteristics of the stock price volatility.Firstly,the relevant stock market volatility review existing research results to modern financial theory is mainly based on the reference efficient market theory,theory of stock market behavior,a simple analysis of the descriptive statistical characteristics of China's Shanghai Composite Index yield,using Multiple linear regression analysis of empirical factors affecting the Shanghai Composite Index,selected to the efficient market theory based on ARMA model and the GARCH volatility characteristics of the Shenzhen stock market analysis.Comprehensive use of various methods for quantitative analysis of the causes and characteristics of stock market volatility empirical study found that the internal laws of China's stock market volatility,and its analysis,the causes and countermeasures comments Finally the actual situation of China's stock market.After empirical research,the following conclusions:First,the impact of China's Shanghai Composite factors were analyzed and found:the total import and export business climate index and M2 have a significant impact on the Shanghai Composite Index,three variables explained the Shanghai Composite Index 39.8%of the variation.M2 business climate index and the impact on the Shanghai Composite Index is positive in nature,the impact of imports and exports on the Shanghai Composite Index is negative isotropic,S&P500 index and the CPI,GDP has not been reflected in the model can be considered on its comprehensive card means a less significant impact.Second,through the empirical analysis of the Shenzhen Composite Index discovery:daily yield Shenzhen Composite index of obvious "volatility clustering" features non-normality,"fat tail" and other features,with ARCH effects.Using the GARCH model be drawn from the analysis:Shenzhen stock return volatility obvious "asymmetric effect",and this asymmetric effect manifested as "leverage effect",that is,in the same degree,"bad news" than the "good news" cause greater impact on stock volatility.Conclusion that TARCH,EGARCH model is more suitable for the analysis of asymmetric volatility characteristics of the Shenzhen stock market returns.