| Chinese stock market, with reform and opening-up and the economic transition,has experienced22years from1990when it was established. The ‘young’ stock marketis playing an increasingly important role in the development of our national economy,and so it gets much more attention. In recent years, micro-economy realized totally fastdevelopment, and macro-economy also gained steady growth, but stock market alwaysappeared abnormal change. This attracted lots of scholars, and they made a largenumber of useful studies about the stock maturity from the perspective of thecharacteristics of stock market fluctuation. However, literatures about the volatilitystructure of market are not rich and lack of system. Therefor it is necessary for thereality and theory to make a systematic study about the ‘realized volatility’ for Chinesestock market.Based on reviewing the relative literatures and the history of Chinese stock market,this paper took all the stocks in the Shanghai A share stock market and Shanghai A sharestock index from February1992to February2012as object of study. Using manyanalysis methods such as descriptive statistics, self-correlation analysis, ADF, spectralanalysis and spectral decomposition, regression analysis, trend test, Wald-type test andGranger casualty test and so on, the paper studied mainly about the features, whichcontain statistics characteristics, change trend and cycle, and Granger casualty, of thevolatility of whole stock market, systematic volatility and non-systematic volatility, andalso the three dimensions of market volatility, industrial volatility and firm volatility. Ingeneral, the main conclusions obtained in this paper are as follows.Firstly, the return of stock market index has characteristics of volatility clustering,leverage effect, high kurtosis and fat tail, which mean it does not obey the normaldistribution, but it shows complex change cycle. And its volatility is time-changing. Thecurrent return and its volatility are historically low. In addition, the volatility of thereturn of stock market index and the weight average of all the stocks’ volatilities aresignificantly relative.Secondly, the ratio of systematic volatility in total volatility and the systematicvolatility itself are decreasing in long-run, but it is not the same for non-systematicvolatility. However, the trajectory and periodic structures of systematic andnon-systematic volatility are almost consistent, and they also have significant bidirectional effects. Nonsystematic volatility is time changing, and it can be influencedinstantly by systematic volatility.Thirdly, firm-level volatility is much strong than the industry-level volatility, andthe market volatility is the weakest. The three volatilities are time synchronization,clustered, longtime cycle and shortly convergence. However, they both have nodeterministic time trend. The relationship between industry-level and firm-levelvolatility are much close. Market volatility can influence firm-level volatility but notvice verso. This means that systematic volatility has unidirectional influence onnon-systematic volatility.Lastly, this paper gave some simple advices on investment, financing andsupervision based on the above conclusions. And especially three important directionsof further study about the structures of stock market volatility were described. |
