Research On The Influence Of The Circuit Breaker On The Volatility Of China's A-Share Market

In 2015,China's A-share market fluctuated dramatically.In order to stabilize the financial market,the government implemented circuit breaker in early 2016,but the mechanism failed on the fourth day.Although the circuit-breaker was short-lived,it had a huge impact on China's stock market.Is there a market reaction before the circuit-breaker? What is the impact on the market after implementation? The influence of circuit breaker is still controversial,this article analyzes these problems.On the one hand,the results give policy makers reference basis,on the other hand,it encourages investors to understand the circuit breaker and reduces blindly trading.We selected the high frequency data of Hushen 300 Index from December 28,2015 to January 7,2016,and the stock price data of the Hushen 300 Index from March 13,2015 to January 7,2016.We use Nonparametric analysis,EGARCH model and event study analysis to analyze the fluctuation of China's stock market,and further to analyze the influence of circuit breaker's announcement effect to stock market and the influence of circuit breaker to stocks of different market value.The results show that the circuit break er caused huge volatility to stocks.The announcement effect of circuit breaker led negative fluctuations to stock market returns.The circuit-breaker has a different effect on stocks of different market value.This research gives reference to the reintroduction of China's circuit breaker.The market responded to the implementation of circuit breaker ahead of time,the related management department shall timely make use of this information to take corresponding measures.In addition,the circuit breaker has a different effect on stocks of different market value.The results provide reference for the setting of the mechanism.Relevant departments should be more thoughtful about setting up circuit breaker.