Study On Characteristics Of Chinese Stock Market Volatility Based On Intraday And Overnight Volatility

From the development history of the securities market,whether the securities market has good volatility feature is an important criterion for judging whether the capital market is mature or not.This paper establishes a coupled component GARCH model for French CAC40 index,the German DAX index,the Nikkei 225 index,the S&P 500 index,the Korea composite index,the Hang Seng index and the HS300 index to estimate intraday volatility and overnight volatility.There is little difference between the intraday and overnight long-term fluctuations of the index.Both intraday and overnight short-term volatility have leverage effect.The ratio of overnight volatility to intraday volatility of the HS300 index is lower than that of other indices.Further study about volatility of the 17 industry indices in the Chinese stock market,the performance of cumulative yield of intraday,overnight and leverage effects of short run fluctuations are basically the Ssame as those of the HS300 Index.The overnight volatility is consistent with the trend of intraday volatility and there is a certain gap between them.In the volatility's rising phase,the gap is large while the gap in the decline phase is small,but the ratio of the two has no significant upward trend.Finally,under bull market,bear market,shock and a total period,we established the panel regression models with the intraday volatility,overnight volatility and the ratio of intraday volatility to overnight volatility being dependent variables,turnover rate,market value,institutional investor shareholding ratio and price-earnings ratio being independent variables.The results show that under different market conditions,the turnover rate has a positive impact on intraday volatility and overnight volatility.In different stages of the bull market,the higher the turnover rate,the greater the ratio of volatility.However,in different stages of bear market,the impact of turnover rate on the ratio of volatility is inconsistent.In the long term,the higher the turnover rate,the larger the ratio of volatility;In different stages of the bull market,market value has inconsistent impact on volatility,neither do the bear markets,but in the long run the higher the market value,the stabler the market;In the bull market the influence of institutional investors' shareholding ratio on the volatility characteristics is unstable while investors in the bear market gradually play a role in stabilizing the market;In the shock stage,fluctuations of the stock with higher price-earnings ratio mainly occur during the intraday trading hours.In the long run,the increase of overnight volatility caused by the increase in price-earnings ratio is higher than that of intraday volatility;Due to different market environment and other factors,even for the same type of market,the direction of influence on volatility and volatility ratio caused by factors are inconsistent in different time periods.The shock phase contains multiple market cycles,which may cause the effects of various factors to be "offset" under different market conditions,therefore the total effect turns out to be that the factor has no significant effect on the fluctuation characteristics.