An Empirical Study On Price Fluctuation In Shanghai Stock Market Based On Mean Reversion Theory

As a key factor in the economic activities and economic development,the allocation of capital fundamentally determines the development of a country's economic situation and Prospects.Active capital market marks the state of economic development,a country's capital market as a visible,supporting China's economic "double engine,platform,plays an irreplaceable role in the development of China's traditional economic upgrading and strategic emerging industries.China's stock market in the process of continuous development and growth,is still faced with.many factors,in 2015 the stock market caused great concern of the community.During this period,it is affected by many factors,such as the political situation,the national policy,the interest rate level,the price level,the international development situation,the business situation,the investor psychology and so on.The research on the trend of the stock price behavior is always a difficult problem in the field of financial mathematics.Because of the difference of the sample data,the selection of the model and the empirical analysis,the conclusions are not the same.A category of research on stock market price volatility behavior belongs to the study of the effectiveness of the market,the market efficiency theory that the stock price follows a random walk model,do not follow the law,in later studies increasingly support the stock price mean reversion tendency,that the stock price will fluctuate around the intrinsic value of the stock,the long term will end return to the central value.At present,most studies on the price behavior in stock market mean reversion theory is to study the trend of stock return volatility.Based on this research background,this paper is based on the Shanghai stock market,from 2006 to 2016 between the ten years of the Shanghai Composite Index closing price as the research sample,with the mean reversion theory as the theoretical basis of the unit root test on Shanghai sequence and sequence mean using the mean regression model and EGARCH model,Granger test of causality and error correction model,to study whether the volatility of China's stock market in Shanghai price mean reversion tendency.If the price returns to its mean value,then when the price deviates from its intrinsic value,it will return to the mean,and then according to the empirical results,analyze the causes of the volatility of the stock market price,and then put forward the corresponding policy recommendations so as to strengthen the macro-Guide the healthy operation of the stock market and provide the basis for the majority of investors,to promote the stock market better development.The results show that there is a long-term association between Shanghai sequence and sequence mean,which indicates that index is always fluctuating between the means.And detected by asymmetric behavior of volatility of Shanghai stock index series,found that the Shanghai stock market deposit accumulation asymmetry phenomenon,that the Shanghai stock market from 2006 to 2016 the stock market fluctuations in the past information is not good to be absorbed by the investors,stock price volatility appears slow,a volatile memory for a long time.Finally,according to the empirical results,this article carries on the analysis from the three aspects of our system,market environment and investor,find the cause of China's Shanghai stock market price volatility asymmetry and puts forward corresponding countermeasures and suggestions,to promote the better development of the stock market.