Research On The Factors Affecting The Price Volatility Of A Stocks

In 2015,there was a rare "share disaster" in China's securities market.From June 15 to September 15,2015,more than 1,500 stocks fell more than 50%.Investors suffered heavy losses.A large number of investors were over-levied due to excessive leverage.Forced to close the position.The same violent stock market volatility is also common in foreign developed markets.As a result,the author has raised concerns about the factors affecting the price volatility of A shares.This research is conducive to answering the reasons for the current surge in the capital market in China,and has certain significance for the construction of China's stock market system,providing constructive opinions for the regulatory authorities and policy makers.According to the literature on the relevant field of stock price volatility,this paper analyzes the perspectives of existing literature and what factors to consider the price volatility of A-share stocks.The paper analyzes the economic logic of the influence of investor sentiment,market valuation and stock index futures on the volatility of A-share stocks in the literature,and focuses on the ideas and raodel selection of empirical research.Because traders in the market have subjective perceptions of the expected future cash flow and investment risk of assets,such perceptions may often result in differences in personal experiencee risk appetite,and external information shocks,causing investors to make assets through trading behavior.The price appears to deviate from the fundamentals of the asset.Therefore,there may be a positive correlation between investor sentiment and stock price volatility.The Path of market valuation to the stock price volatility may be based on the future trend of the market,because a large number of investors in the market are trend investors,the logic is "market valuation improvement(reduction)-expectations The future continues to increase(lower)-investors buy(sell)-push up(lower)stock price volatility." The use of stock index futures allows investors to have risk hedging instruments.When stock market volatility occurs,using stock index futures to hedge can significantly reduce the fluctuation of the overall position,thus reducing the operation in the spot market.Therefore,the convenience of the use of stock index futures instruments may directly affect the price volatility of A shares.Therefore,this paper selects three variables related to investor transactions,such as investor sentiment,market valuation(PE)and stock index futures,to study the price volatility of A shares.Considering that there may be autocorrelation in the price volatility of A-share stocks,this paper uses an autoregressive model.The empirical results show that the volatility of A-share stocks has a strong positive relationship with the volatility of A-share stocks in the previous period.The investor sentiment has a positive relationship with the volatility of A-share stocks.The market valuation level and A Stock price volatility has a positive relationshiP,while the use of stock index futures has reduced the volatility of A-share stock prices.Based on the results of the empirical research,the following policy recommendations are proposed:First,the government and the regulatory authorities should strengthen the education of investors.At present,most of the stock market participants in China are small and medium-sized retail investors,lacking financial investment knowledge,and urgently need the government and regulatory authorities to reasonably Guide investors to carry out the necessary knowledge reserves,increase risk management awareness,encourage investors to participate in long-term investment,and guide individual investors to choose institutional funds such as public funds and pension funds.Second,the regulatory authorities should guide investors in the bear market to carry out long-term value investment,gradually enter the market,stabilize market pessimistic expectations;and moderately carry out risk prevention awareness in the bull market to avoid investor emotional trading.Third,the regulatory authorities should release the trading restrictions of stock index futures as soon as possible,and increase the risk hedging measures of institutional investors.Fourth,China's retail investors have obvious trading disadvantages due to knowledge structure and other reasons.Therefore,the government should encourage the proportion of institutional investors to encourage retail investors to enter the stock market through funds and insurance.