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A Study on the Volatility Structure of Chinese Stock Market

Author: ShenNing
Tutor: LiXueFeng
School: Nankai University
Course: Finance
Keywords: Volatility Structure Market volatility Fluctuations in the industry Stock fluctuations
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 96
Quote: 0
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Abstract


So far , foreign scholars on the volatility of the stock market , a lot of research , and that stock market volatility is not constant , but change over time . Similarly , our scholars learn and improved foreign research methods based on the volatility of the stock market in China , in-depth research . The above study effective way for us to measure and characterize the overall market volatility , but it ignores a problem , that is the risk of the industry and stock levels for other investors can not fully replicate the movements of stock indices is very important . This article starting from the three levels of the market , industry and individual stocks , the establishment of the model to decompose the overall volatility of the market , and further sample empirical test of the Shanghai stock market , and to measure the volatility of the stock market in China , industry volatility and stock fluctuations and accordingly the conclusion of this article and revelation .

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