Explanation Of The Volatility Of China's Stock Markets Based Upon The Influence Of The Financial Policy

Volatility of stock price plays an important role in risk and income to investors, effective supervision, and realization to shareholder's income maximized. To study the regularity of the volatility of stock market, analyze the reason for causing the market fluctuations of stocks, offer the basis that can be followed for supervising, investor's investment, and company production and operating activities, is the final purposes of theoretical and empirical research. The reason of the volatility of stock market is complicated, such as the macroscopical economy, politics, policy, the industry aspect, the factor of company production and management. The domestic scholars have formed unanimous conclusion on the stock market volatility and the reason, namely the stock market in China is a "policy market". Seeing that the stock market of our country is developing, unripe, more bodies such relevant supervision departments of central government as China Securities Regulatory Commission, the People's Bank of China, Ministry of Finance, various kinds of trade rules made in every exchange can have an influence on the stock market. So it is not pointed to study the various kinds of policies impact on the stock market extensively, to study the single policy impact on the market is one of the developing directions of theoretical and empirical research. Hence, this dissertation makes an effort to probe into the continuous financial policy impact on long-term fluctuation of stock market and the discontinuous financial policy impact on short-term fluctuation of stock market.The main research contents and conclusions of this dissertation are summarized as follows: First of all, this dissertation reviews the literatures of domestic, foreign scholars' research on stock market volatility and the origin of formation, and draws lessons from the foundation of forefathers' research results to lucubrate the stock market. On the one hand, this dissertation probes into the general mechanism that the financial policy influences the market volatility, and has put forward such mechanism of influencing the market volatility for continuous financial policy as money supply, loan balance of financial institutions, interbank offered rate, namely when money supply increases, the stock price goes up, the stock price drops on the contrary; When the loan balance of financial institutions increases, the stock price goes up, the stock price drops on the contrary; When the interbank offered rate rises, the stock price drops, the stock price goes up on the contrary. On the other hand, this dissertation has probed into dispersed variables such as interest rate, capital reserve rate, and discontinuous financial policy incidents impact on the market price, namely when the interest rate is heightened, the stock price drops, the stock price goes up on the contrary; When the capital reserve rate is heightened, the stock price drops, the stock price goes up on the contrary; The financial policy incidents increasing the funds of stock market will cause the stock price to go up , the financial policy incidents of reducing the funds of stock market will cause the stock price to drop .Secondly, on a basis of reviewing the developing process of the stock market, this dissertation has analyzed the basic statistics characteristics of Shanghai and Shenzhen stock markets, studied the relation between the index and earning ratio of stock markets of Shanghai and Shenzhen,and the abnormal distribution of Index of Shanghai Stock Exchange has examined;Using ARCH model to analyze the heteroskedasticity of the index and earning ratio of stock markets of Shanghai and Shenzhen, this dissertation has screened the more excellent model of fitting and explained,and according as our country reality to analyze the origin of stock market volatility.Then, based on the vector autoregression theory, considering money supply, loan balance of financial institutions, average interbank offered rate as the continuous financial policy variables, and considering consumer price index, industrial added value as control variables, this dissertation has designed 8 VAR models to study the variables specific influence and overall influence on the volatility of stock market, drew a conclusion that the impact of continuous financial policy on the stock market volatility is not strong.In the end, abandoned the deficiency of normal distribution in traditional Markowitz method on the basis of Event Study method, this dissertation has not only studied the incident to the Cumulative Abnormal Return of the stock market changed before and after the incident, but expand it to the research of changing of volatility rate before and after the incident. After researching, this dissertation drew some conclusions that the discontinuous financial policy variables have strength of explaining to the volatility of stock market, and the financial policy incidents influence is outstanding comparatively. Hereby, discontinuous financial policy has been taken for one of the main reasons that the stock market of our country fluctuates in a short time.