Analysis On The Influencing Factors Of Stock Market Volatility Based On VAR Model

Throughout the development and operation history of Chinese stock market,we can find that Chinese stock market has great volatility.The frequency,duration and severity of stock markets' volatility of the bear exceed the mature markets.Under the background of emphasizing the prevention and resolution of major financial risks,this paper studies the factors affecting the volatility of Chinese stock market,and proposes effective measures to deepen the understanding of China's stock market and especially its risk,and provides a certain perspective reference to its management policies.At the same time,it also enriches the theory of the factors affecting the volatility of China's stock market.Firstly,based on the analysis of the concept of stock market concept,I defines the connotation of market stability.Compared with the previous literatures use the stock index return rate to measure the market stability,the author uses the standard deviation of the Shanghai Stock Index to indicate the market stability.Secondly,through summarizing a large number of articles by previous scholars and combing with the thinking of mine,I discuss the factors as domestic macroeconomic conditions,investor sentiment and market openness affecting the volatility of China's stock market.The quota including the consensus index in the macroeconomic index,M1,interbank lending rate,the consumer confidence index,USD/RMB exchange rate,the ratio of the sum of foreign assets and liabilities of a country's stock to GDP.After the data was filtered and adjusted,I analyzed the affects by means of impulse response analysis and analysis of variance in VAR model.It was found that different factors were significantly different due to their influence path,response degree and reaction cycle.There is an autoregressive effect in the stock market.The positive macroeconomic conditions and the increase in consumer confidence index will have a positive effect on reducing the volatility of the stock market.The increase of the money supply and the exchange rate and the market openness will cause market volatility in the short term.The interest rate and stock market volatility are less affected,and the overall appearance is negatively correlated.In the short term,the relative contribution rates are ranked as follows:market openness,USD/RMB exchange rate,money supply,macroeconomic sentiment index,consumer confidence index,interbank lending rate;but in the long run,the ranking is:USD/RMB exchange rate,money supply,macroeconomic sentiment index,market openness,consumer confidence index,interbank lending rate.Finally,I summarized the rules of China's stock market and its influencing factors.On this basis,the possibility of institutional policy was discussed,which provided a reference for reducing market volatility and preventing major financial risksCompared with others studies,this paper is slightly new in the following aspects:First,for the seasonal indicators,the X-12 method is used for seasonal adjustment to eliminate the seasonal influence,which makes the empirical research more accurate,For the problem of inconsistent data caliber,the lower-frequency quarterly data is converted to monthly data by the Denton method,and the daily data is adjusted to the monthly data by the average value,so that the data caliber is consistent.Second,in the past,the papers were more univariate analysis.In contrast,the different factors to be analyzed in this paper are analyzed by the same empirical model,which makes the different influencing factors comparable.However,there are also many shortcomings:Firstly,the method of empirical analysis of influencing factors has certain limitations.The indicators processed by VAR model require consistent data caliber.Therefore,this paper uses monthly data uniformly,while the stock market is usually high-frequency data.Secondly,the volatility of the stock market is affected by many factors,and I can't take all the factors into consideration.I can only select some of them for research.There are also limitations when choosing index,which may have a certain impact on the conclusions of this paper.Thirdly,due to the influence of selected indicators,the sample interval of the thesis research is short.The follow-up can consider replacing the metrics to increase the sample length,making the conclusion more accurate and meaningful.