The Analysis Of The Asymmetry In Chinese Stock Market

The asymmetry in financial time series mainly related to the skewness and kurtosis of distribution. On early 1990s, the research about skewness and kurtosis began into economical and financial fields from mathematics. What's more, the scholars began to focus to the measurement and test about asymmetry issues in financial time series, but most of these discussions is focused between the foreign scholars. In China, the research about asymmetry has been stuck in the direction of mathematics and scarcely on the application in financial time series.The research about asymmetry in financial time series has a very important issue of significance in the background of the global financial crisis which was triggered by United States subprime mortgage crisis, because the financial time series data in this time must have its unique characteristics. One hand it enrich the financial time series data's integrity and diversity, On the other hand it also increased the difficulty of the study about the financial time series. In addition, China's stock market data has its unique significance for the study about asymmetry in financial time series. As we all know, the Chinese stock market operation, performance and the response of macroeconomic policies never obey the laws which are recognized by a number of internationally scholars. It makes a lot of economists confused. In other word, China's data sample is different from the international stock market data mighty. Therefore, the research about the asymmetry of the Chinese stock market can't be ignored and also is significant.In this paper, we use the return series of four Chinese stock index (The Shanghai Composite Index, Shenzhen Component Index, Taipei Weighted Index and the Hong Kong's Hang Seng index) to discuss asymmetry from 1993 to 2009. In the period, the Chinese stock market changed from scratch and from small to large, so the sample sequence is very complete and it includes many special period, such as the share reform period, the sub-prime crisis and so on. In this paper, the kind of asymmetry is classified as unconditional asymmetry and conditional asymmetry. We use the classical and robust tests, BN05 test and RS test to study the unconditional asymmetry and use BNO1 test and New GARCHDSK test to study the conditional asymmetry from the direction of descriptions and non-descriptions. In the end, we get the result of the asymmetry about the Chinese stock market and get the best method of the test about asymmetry for the Chinese stock market.