The Asymmetric Impact Of Information Shocks On Bull And Bear Markets

The impact of the research information impact on the bear market not only helps to analyze the phenomenon of "strong city and weak market",but also helps us to observe the effect of financial regulation policy.Macroscopically,it is conducive to the introduction of targeted regulatory policies by the financial regulatory authorities,and the micro level provides certain investment decision support for brokerages and investors.The change of stock market price is the reaction of market to information shock.This paper selects the closing price,opening price,maximum price and lowest price of the Shanghai composite index in the past 11 years from 2005,and USES the daily fluctuation mechanism of stock price to break down the yield.The positive information and the amount of information can be converted into two kinds of time series.By using VAR model and impulse response function,two kinds of time series are respectively put into the empirical analysis of dynamic nature in bull market and bear market.It can be seen from the empirical results that the bull market reacts faster to the bearish information,but the impact of positive information is more likely to cause the fluctuation of the stock market.The cumulative effect of positive information is greater than that of negative information.Bear market phase,the cumulative effect of negative information than positive information accumulation effect,2015 bull market the duration of the negative and positive information more shorter than the bull market in 2007,increase the effectiveness of China's stock market.The results show that the bull market phase,the asymmetric response performance of the stock market for "asymmetric reversal effect",a bull market investors tend to enlarge the good news and to reduce the bad information,good time is a bad policy.The bear market,on the other hand,shows the "leverage effect",which is not a good time to introduce a policy.