The Study Of Asymmetric Volatility In China's Stock Market

Com pared with mature foreign markets,China's stock market has the characteristics of violent volatility,high-risk agglomeration and rapid transformation in different market conditions.The asymmetric effect of volatility spillovers between different markets is obvious.Therefore,it is of great practical significance to study and explore the volatility characteristics of China's stock market and futures market.Firstly,this paper divides the Chinese stock market into four stages by using the Iterative Cumulative Square Sum C(ICSS)algorithm.By constructing the GARCH family model,the asymmetric effects of return volatility of Shanghai Composite Index and Shenzhen Composite Index are compared and analyzed in stages.It is found that the fluctuation asymmetry based on Shanghai Stock Index is greater than that of Shenzhen Stock Index.The fluctuation asymmetry of stock market is different in four market stages.The first,third and fourth stages have leverage effect,and the second stage has anti-leverage effect,which on a degree is due to the market environment of the financial crisis.Secondly,by constructing VECM-ADCC-EGARCH model,this paper examines the asymmetric effects of mean spillover effect and dynamic correlation between Hushen 300 stock index and futures spot markets.The results show that the mean spillover effect between the two markets shows obvious asymmetric effect in the long and short term,but the dominant role is different.In the short term,the leading role of spot market is greater than that of futures market.However,in the long run,the corrective process mainly indicates the adjustment from spot price to futures price,which indicates that the futures stock market in China on a degree has the function of price discovery.The dynamic correlation between future market and spot markets has an asymmetric effect.The dynamic correlation of return is more sensitive to bad news than to good news.Finally,by constructing ADCC-EGARCH model,this part mainly analyzed the asymmetric linkage effect between commodity futures market and stock market.For example,the agricultural product market is represented by soybean futures,the energy and chemical industry is represented by coke futures and the metal industry is represented by Shanghai copper futures.It is found that the information sensitivity a nd the persistence of return volatility of stock indices in different industries are different.The information sensitivity and volatility persistence of Jiangxi Copper Stock Index is the highest,followed by Hagaoke Stock Index and Meijin Energy Stock Index.In addition,the dynamic conditional correlation among the three industries is asymmetric.The maturity of Shanghai copper futures and soybean futures in the financial market is higher,while the maturity of coke futures is lower.