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Fluctuations in China's stock market correction based on the expected information asymmetry

Author: FengWeiJia
Tutor: SunWanGui
School: Northwestern University
Course: Finance
Keywords: Volatility Leverage effect The VAIE-APARCH model Trading mechanism
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 41
Quote: 0
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Abstract


Volatility (Volatility) is an important area of ??the financial empirical research in recent years, the most typical of the volatility of the financial sector to the fluctuations of the stock market. The volatility of the stock market has many characteristics: fluctuations in the cluster, the leverage effect of fluctuations, fluctuations in the persistent and so on. Most of the literature in the study of stock market volatility leverage effect only consider the unexpected information, leverage effect on the stock market, the traditional leverage effect, without considering the expected information in the study because they assume the market expected information absorption thorough. Chen Langnan (2007) based on known information corrected leverage effect in stock market research in nine countries, found that the market-based have anticipated that the information corrected unexpected information are presented for the reverse correction. This article is based on China's stock market fluctuations asymmetry. The development of China's stock market has been a history of more than twenty years, in the course of the relationship between the stock market and macroeconomic also undergoing a subtle change, and show some stage due to the characteristics of the new line of my stock. Overarching research on China's stock market index yield sequence in article, according to Liu Shaobo (2005) study of China's stock market and macroeconomic relationship between the three-stage evolution path analysis, China's stock market is divided into three stages Milestone analysis. The empirical results show that China's stock market, either in general or in stages its traditional presence of significant volatility leverage effect, and more importantly, γ2 ≠ 0 significantly, so that China's stock market in general or whether there are three stages Based on the leverage effect of the expected information. We conclude from the empirical part of this paper: from the overall point of view, China's stock market showed Asymmetric Volatility and Asymmetric Volatility of mature foreign markets, and performance based information has anticipated leverage effect and Chen Langnan research national stock markets from phased known message-based correction the leverage effect like, just reaction to the Asymmetric Volatility leverage coefficient is relatively small; analysis, in the time of the first phase of China's stock market fluctuations On the contrary, exhibit asymmetric characteristics of mature foreign markets Asymmetric Volatility and γ2 lt; 0, that is, which in this period has been expected positive correction unexpected information; in the second, third, four-stage, China's stock market fluctuations and foreign mature market fluctuations showed the same asymmetry, and γ1, γ2 decreases in turn, to show that the speculative component of China's stock market continued to decline, investors continue to become more rational in the market Want to mature markets development.

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