A Study On Common Factor Of The Stock Market Volatility

In recent years,with the continuous development of the financial market and the increasing scale of transactions,increasing funds have flowed into the stock market.At the same time,the fluctuations in the stock market have also been abnormal and violent,causing investors to face greater investment risks.And regulators have difficulty making the right regulatory decisions.Therefore,the research on the influencing factors and volatility characteristics in the stock market has always been an important issue to be analyzed in the domestic financial field.This paper used the monthly financial data of 3,758 stocks in China's A-share market from January 2007 to December 2019 to construct a multi-layer dynamic factor model based on panel VAR and with random volatility.This paper extracted the estimated uncertainty of the time-varying common factors,and then studied the variance contribution rate of the different factors and the characteristics of volatility in the A-share market,so as to analyze the main sources of A-share volatility.The research results found that:(1)The market uncertainty and macroeconomic trends shows a trend of divergence during the 2008 global financial crisis,but the degree of divergence from macroeconomics narrow afterwards;(2)The different factors that exist in the A-share market can explain most of the volatility of A-share,and market factors play a major role in explaining the volatility,especially in the 2008 global financial crisis and during the stock market disaster caused by the "Circuit Breaker" in January 2016;(3)The stock market can reflect the characteristics of market factors better when it fluctuates sharply,it can reflect the industry effect better,while the regional effect is not obvious;(4)There is a common movement trend among different industries and regions,especially during the bull and bear markets,the direction of these fluctuations tends to be basically the same.