Research On The Relationship Between Stock Market Volatility And Market Speculation Based On MS-VAR Model

In China's stock market,the investment concept of market investment entities is lacking.The investment literacy of individual investors and institutional investors is not high,the investment concept is lacking,the trading is too frequent,the stock market fluctuates greatly,and the stock market has high volatility.On the other hand,institutional holdings are generally short-lived.Many institutions are also pursuing the theory of fast-forward and fast-moving.The market has high speculativeness.At the same time,speculative dealers have more opportunities because of the chasing and selling behavior of retail investors.Speculation,further increase market speculation.This paper starts with the high volatility and high speculation in China's stock market.Through the theoretical combing between the two,it puts forward two hypotheses about the relationship between stock market volatility and market speculation.The first is that in the high volatility of the stock market,market speculation Higher,the second is that the market is less speculative in the low volatility of the stock market.According to the proposed hypothesis,the empirical model is used to verify from the GEM index and different industries.Since the actual economic variables are often not linear,and market speculation is also affected by many factors,under different stock market volatility,the two The relationship between the two is not the same,so this paper divides the stock market volatility into two regions: high volatility and low volatility.The MS-VAR model is introduced to explore the relationship between volatility and speculation.The empirical results show that the stock market fluctuates by one standard deviation.The impact on the stock market will also increase significantly,indicating that stock market volatility is a cause of speculation.There is a positive change between the two,and when the stock market volatility is higher,the degree of speculative response to the stock market volatility shock The larger the verification,the hypothesis proposed in this paper.According to the results of this paper,stock market volatility can be considered as a speculative booster for the stock market.When the stock market volatility is high,the idea based on this article will generate high speculation.In the stock market,it is necessary to suppress high speculation.In order to achieve high speculation,an effective policy can be introduced to reduce the high volatility of the stock market,thereby indirectly achieving the effect of reducing market speculation.In summary,this paper provides an explanatory factor for the emergence of market speculation,that is,volatility is a market speculative booster,and also provides a way to reduce market speculation.