An Empirical Analysis On The Volatility Of The Industry Sectors In The Chinese Stock Market

The performance of different industry sectors in the stock market are not the same,and the fluctuation characteristics of each industry sectors can represent the development status and risk characteristics of the industry to some extent.The study of the specific fluctuation characteristics of each industry sectors and the exploration of the transmission effects among different industry sectors will be helpful to the participants in the financial market and the relevant policy makers to have a deeper and more comprehensive understanding of the characteristics of different industry sectors,the relationship of them,and the macro view of the risks at the industry level.Thus,it provides more information for investors to allocate assets,and provides more references for government and management departments in formulating laws and policies in order to improve market structure.This paper is divided into five chapters.The first chapter mainly introduces the research background and significance of this article,literature review,as well as the framework of the article.In the second chapter,the common features of stock market volatility and the classification of the industry are introduced.Chapter 3 introduces the ARCH model,the GARCH model,the TGARCH model,the Granger Causality Test and Apriori algorithm.The fourth chapter uses the Wind industry index to carry out empirical analysis to explore the aggregation effect and leverage effect of the fluctuations in the returns of different industry indices,and analyzes segmented sample of industry indices which do not show significant leverage effect at the entire time.Then,Granger causality test is used to explore the relationship between different industry indices.Finally,the Apriori algorithm is used to explore whether there are association rules for more specific fluctuations in the industry indices.The fifth chapter summarizes the full content and puts forward some defects.The empirical results show that there is fat-tail feature in the sequence of returns of different industry indices,and there is conditional heteroskedasticity,showing fluctuating aggregation and persistence.When using TGARCH model,we find that not all industry indices have significant leverage effect.The leverage coefficients of real estate index,telecom service index,public service index,energy index and health index are not significant.Then,stage discussion shows that the leverage effect of most of the indices is still not significant for those who shows insignificant leverage effect at the entire time.Finally,the Granger causality test demonstrates that different industries have different fluctuating transmission characteristics.The financial index,energy index and public service index are the Granger reason for most industries,which means that the fluctuations in these three industries may affect other industries,and the empirical result of the real estate index shows that it is not significantly affected by many industries.The analysis of association rules reveals that association rules exist within the current period,but weaken during intertemporal periods,and for different industry indices,there will be certain association rules when the index shows big change.For slight fluctuations,the association rules are not obvious.