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Studies on Asymmetric Response of Chinese Stock Markets

Author: WangLiang
Tutor: LiuJinQuan
School: Jilin University
Course: Quantitative Economics
Keywords: Asymmetric reaction TGARCH model ASV model
CLC: F224
Type: Master's thesis
Year: 2006
Downloads: 136
Quote: 1
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Abstract


The stock market reaction to information asymmetry , the stock market has long been characterized as a large number of asymmetric reactions of economists and investors focus of attention and study . In this paper, absorb and learn from at home and abroad on the basis of the latest research results , to the actual situation of China's stock market as a backdrop, a more systematic study of China's Shanghai and Shenzhen A, B shares four market volatility asymmetric response characteristics . Our empirical results obtained show that China's stock market information to the outside world only exists asymmetric response pattern , and this feature also has an asymmetric reaction stage . Namely the development of the stock market early ( 1993-1997 ) has an asymmetric response to market fluctuations reverse effect (Reversions in the Asymmetric Behavior of the Volatility), late in the stock market development ( 1997-2006 ) market volatility reaction with leverage. And asymmetric response amplitude significantly reduced over time . Weakening of asymmetric reaction degree and pattern indicates that the phased transition , China's stock market is constantly maturing. In analyzing the reasons for the formation of an asymmetric reaction , we mainly deal from an investor irrational behavior and asymmetric effects of monetary policy are explained in two ways . We get the main conclusion is that the development of the stock market there are more serious pre-market trading behavior of noise , monetary policy on the stock market has an asymmetric impact on yield . Two empirical conclusions valid interpretation of China's stock market volatility asymmetric response characteristics .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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