Study On The Mutation Of Shanghai Composite Index Structure Based On SV-M Model

Affected by external factors,there are large fluctuations in China's stock market as an emerging market that would lead to mutation.Therefore,structural mutation of stock market has been being closely concerned by market risk managers.Research on the structure of Chinese mutation through the stock market,so as to further analysis of the causes of the structural break is generated,grasp the inherent law of China's stock market,has inestimable significance for prevention and control of the development of our government macro policy and the regulation of financial markets and financial risks.However,most of the literature is about structural mutation in a long period while little of the literature is about structural mutation in a short period.In addition,the choice of model needs to be further improved while using Bayesian method to select the basic model for volatility modeling.In this paper,Bayesian method that is based on the theory of Bayesian inference,constructing a likelihood function,While using prior information and sample information,as well as adopting Gibbs sampling is used to judge the number and location of the change point of Shanghai Composite Index by using the high frequency data,based on the SV-M model that is one of the SV family models.The result of the empirical study shows that there are three structural changes in Shanghai Composite Index from October 8,2014 to August 31,2015 and are successfully found,which conforms to the reality.And the links between these three change points and several major events of stock occurred in relevant period can be found,which are caused by political factors to a large extent.We can see that there is an obvious phenomenon of "policy stock market".In addition,we found that rise or decline trend occurred in the stock market after the three change points.The emergence of change points reveals the development trend of Shanghai Composite Index in the future to a large extent,so it has become a basis for investors to make decisions.In conclusion,it will be relatively more accurate to estimate change points by adopting SV-M model are relatively accurate,because it basically grasps the characteristics of several major structural abrupt changes of the SSE index series in a short period of time and describes that of Chinese stock market in a good way.