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Study of Volatility in Shanghai and Shenzhen Stock Markets

Author: WuMing
Tutor: ZhouXiaoHua
School: Chongqing University
Course: Finance
Keywords: Volatility Information Using ARCH Model Cointegration
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 194
Quote: 0
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Abstract


The stock market is full of uncertainty. The rapid flow of information, capital changing the stock price, leading market between conduction. The stock price volatility is a basic feature of the stock market, the normal fluctuations favor an active stock market, market transactions to be ongoing, but intense, frequent fluctuations in market risk will increase affect investors' judgments, even damaging investor confidence. China's Shanghai and Shenzhen stock markets are emerging markets, high-risk characteristics of the market volatility is particularly prominent. Therefore, the study of China's Shanghai and Shenzhen stock market fluctuations characteristic for government management and investors with a strong practical significance. Based on the decomposition and EC-EGARCH-M model and empirical analysis on the Shanghai and Shenzhen stock market volatility. Is divided into six main parts to start on the first part of the description of the research background, significance, research ideas and research contents. The second part of the research status at home and abroad to sort out. The third part of the system to fluctuations of meaning, Types, Characteristics and measurement methods to expand the study to lay the foundation for later. The fourth part of the model the - ARCH family characteristics of the model and its application range characterize the market volatility at home and abroad to conduct a detailed analysis, and thinking about a suitable model of the Shanghai and Shenzhen stock market volatility characteristics. The fifth part of the basic features of the Shanghai Stock Exchange and Shenzhen Stock Exchange, abandon predecessors simply as the volume information on alternative variables, and build market confidence index and the market is active index substitution variables as the information in the model design, we also consider the conditional variance of yield. In the sixth part of the article, we have further improved model, the use cointegration analysis method to the modeling process, and consider the information asymmetry, and finally build the EC-EGARCH-M model. All models Empirical Analysis of the Shanghai and Shenzhen Composite of daily yield data. The results show that: the two information variables absolute impact of market volatility; the market active index fluctuations asymmetric effect; market confidence index in the Shanghai market is nothing more than symmetry, but the the Shenzhen market downturn market confidence will cause market large fluctuations; market activity index and cointegration residuals of the conditional mean equation and the conditional variance equation good explanation; bidirectional volatility spillover between the two cities, and emerged as clustering and asymmetry fluctuations characteristics.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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