The Empirical Study On The Patterns Of Asset Price Volatility

The patterns of asset price volatility is one of the hot topics in the field of the modern financialresearch for a long time, which has played a very important role in many financial theory, such asthe portfolio theory, risk management, APT model and BS option pricing model, etc., therefore, itis particularly important to the empirical study of the patterns of asset price volatility. This papergives priority to quantitative analysis, attaches to the method of normative analysis. By usingthe domestic and foreign securities market transaction data, the paper empirical research on thepatterns of asset price volatility from four aspects, it is important to note that these four aspectsare not independent of each other, there is a cross correlation between each other.Firstly, empirically study on the patterns of asset price volatility based on market informationefciency. This paper examines the weak-form efciency in Shanghai stock market based on dataset from the December19,1990to September30,2013. Difering from previous studies, thewhole sample is divided into some sub-samples with fixed length by adopting the sliding window.Then we put run test and Q test on each sub-samples and use the corresponding statistics as anapproximation measurement of degree of weak market efciency to study time-varying of weak-form market efciency in the Shanghai Composite index. The results show that Chinese stockmarket gets closer to the efcient market as continuously improved in the institutional changes.Secondly, empirically study on the patterns of asset price volatility based on the behaviorcharacteristics of asset price changes. This paper provides a new method to measure the asymme-try of the price rise and fall in the securities markets. The empirical results show that both the taildistributions of time spans from local price maxima to local price minima and the tail distributionsof time spans from local price minima to local price maxima yield an exponential distribution. Inaddition, price rise/fall asymmetry is observed by comparing the values of the exponents of thedistribution curves. These results are robust across eight representative stock markets.Thirdly, empirically study on the patterns of asset price volatility the based on market in-vestors behavior. Market behavior is the most basic performance price volatility and trading vol- ume. Market transaction prices and the corresponding volume of the past and the present cover thebehavior of market investors in the past and present. The empirical study on the relationship be-tween trading volume and price can reveal the nature of the financial market structure.The resultsshow that the volume and price volatility are positively related, and trading volume can explainpersistence of price volatility of stock market at a certain extent. In addition, for the relationshipbetween return and trading volume, we found that, compared with the prices is not local extrema,when the price reaches to the local extrema (local maxima or local minima), the same unit of pricechanges often requires larger volume as a support.At last, empirical study on the patterns of asset price volatility based on the individual stocks’synchronicity. Synchronicity plays a important role in the research of the complexity of the finan-cial system, refers to the individual/elements in the system have consistent behavior. This paperadopted two diferent ways to define the individual stocks’ synchronicity based on intra-day data:The one is the average cross-correlation of individual stocks; the other is the largest eigenvalueof covariance matrix of individual stocks. Then, we find that the individual stocks’ synchronicityis positively related with market trading volume and negatively related with market index return.Furthermore, based on AR (1)-EGRCH (1,1) model, we find that the first-order autocorrelationof daily return tends to decline with the individual stocks’ synchronicity.