A Study On The Daily Effect Of Shanghai Stock Index Returns

The yield volatility is the basic feature of the stock market.The volatility indicates the trend of stock market prices to some extent.Empirical evidence shows that the mature stock market has moderately-sized volatility.The volatility is too large,making the stock price instability,and it is difficult for investors to make decisions.The yield series usually has the following four characteristics:leptokurtosis,volatility cluster,heteroscedasticity and leverage effects.This series makes traditional economic measurement methods be ineffective.Then statisticians use conditional heteroskedasticity to construct GARCH model and a variety of derived model of GARCH,aiming to better study the law of the yield volatility.This thesis employs the Shanghai composite index closing price from 2005 to 2016 as a sample to calculate the logarithmic return rate.We use Eviews software and R language to analysis and verify the various features of the Shanghai composite index returns series,such as non-normality,sequence stationarity,lagged fourth-order autocorrelation,ARCH effects,and so forth.The GARCH model was used to fit the volatility of Shanghai composite index.At the same time,this sequence was fitted by utilizing the non-symmetric GARCH model(TGARCH,EGAARCH)and compared with the AIC values and log-likelihood ratios.The results showed that TGARCH model had the best fitting effect.This confirms that the leverage effect of the Shanghai composite index yields.The mature stock market shows a certain weekend effect,namely Monday's negative effect and Friday's positive effect.In order to fit the daily effect of the rate of return on China's stock market,we introduce the date virtuai variable in the wave equation of TGARCH model to describe the fluctuation of the fitting rate of return effect under the elimination of leverage effect.Taking the return sequence of the Shanghai composite index as the sample,the TGARCH model combined with virtual variables is used to fit the fluctuation of the daily yield volatility from Monday to Friday.We compare the AIC values between the virtual variable TGARCH model and other virtual variable model to show that the virtual variable TGARCH model has the best fitting effect.The ratio of the daily fluctuation and the overall fluctuation is used as the yield volatility index to explore the daily effect of the rate of return.The results show that the negative effect of Monday and the positive effect of Friday are found in the stock market of Shanghai securities in China.Similar to the mature stock market,China's securities market has been long-term development.Finally,some policy suggestions are put forward according to the results.