Research On The Volatility Of Chinese Stock Market

The capital asset pricing model, arbitrage pricing, BS option pricing formula are the representative of modern financial theory. As a specific measurement indicator of portfolio, volatility directly affects risk pricing, risk management and asset allocation. Using financial tools to control and manage their risk and decide portfolio, investors must first examine the feature of volatility and establish volatility model to find law, so as to improve the the efficiency of asset allocation in overall market, and reduce the cost of economic operation.This paper studies the volatility of Chinese stock market as the research object and focus on the following issues:According to the existence of leverage in Chinese stock market, this paper use the asymmetric SV model with double jump on the Shanghai and Shenzhen Composite Index to study the impact of good or bad news on the fluctuations and use MCMC algorithm based on Gibbs sampling for parameter estimation. In the research, from division of the data situation and the different stages of different empirical process, we can confirm that during the Shanghai and Shenzhen stock markets in the whole process, in the bull market phase, "bad news" cause greater fluctuations, while in the bear market phase, the "good news" lead to greater volatility. This finding is different from the stock market research widely recognized "leverage effect". If the bear market phase of the whole divided into early, middle, end stage in three different periods, reverse "leverage effect" were found to occur significantly in the early and late term bear market. This paper explained the leverage effect from the aspect of behavioral finance.It proposes improved bidirectional GC-MSV, considering the volatility and stock index futures stock market volatility and using 15-minute intervals data of Shanghai and Shenzhen 300 stock index futures for empirical analysis. The empirical results show that the introduction of stock index futures in China since the stock index futures market and spot market does exist between the significant two-way volatility spillover, Shanghai and Shenzhen 300IF price fluctuations in spot price volatility of the Granger causes the spot price volatility is Granger caused by futures price volatility, and futures cause more volatile than spot market.This paper improves the sentiment index made by Yi Zhigao and Mao Ning and uses behavioral finance theories and methods to work out the investor sentiment index. It is based on the composite index of investor sentiment to study the sector plates of different fluctuations. Based on SV-t model and according to nineteen industries index, it turns out that investors'sentiment influence differently on industries, in which emotion on non-ferrous metals, electronic information, real estate, machinery, banking and other industries is obvious, but on the automotive, pharmaceutical and other industries is not obvious.