Researching Volatility Asymmetric Of Rate Of Return On CSI300Index At Different Stages

Since quite a long time, researchers have been committed to study the relationship of stock price and its volatility in the financial sector, this is a significant issue in the field of financial, but in recent years researchers begin to study volatility asymmetry phenomenon in the field of empirical. Market volatility has a wide range of applications on the measurement of the size of the risk, testing market efficiency and estimating the parameter values of the CAPM. Moderate fluctuations of stock prices in a certain extent can play a role in improving market liquidity and active market, it is a core element in the economic and finance.This dissertation investigates the volatility of rate of return on CSI300index which can reflect the whole trend of stock at different stages when the major events of trading system occur, then put forward a more rational and comprehensive explanation for volatility asymmetry. The study results are as follows:The daily return series have the characteristic of volatility "clustering" and "peak and fat tail". Compared with the first stage, the kurtosis coefficients of S1, S2stages have decreased significantly, which indicates Chinese stock market is continue to develop and the abnormal behavior of volatility is gradually decreasing. The fitting results of GJR-GARCH-M model and EGARCH-M model show that S1stage is non-stationary, but S2and S3stages are stationary process, and the stationary is growing strong. In the stationary process, the relative risk coefficient of the CSI300index changes from negative to positive, and the preferences of investors have changed from risk appetite to risk aversion, which can be seen that the stock has developed more than twenty years and is growing more and more strong, the stock market’s speculative element is gradually reduced, and investment behavior is gradually becoming rational.This dissertation argues that not only there exists leverage effect of the stock market, which for the good news, the same scale of bad news caused the stock market more volatile, but also there exists anti-leverage effect, which the impact of good news is greater than that of bad news. Therefore this dissertation considers volatility asymmetric effect of stock market is not equal to the leverage effect. Volatility asymmetric of stock market should be the same scale of good news and bad news produce the different effect. The absolute value of the leverage coefficient is largest at S2stage, which explain increasing the transaction stamp tax can increase the volatility of the stock market in the context of the financial crisis.The news impact curves of three stages indicate that curve has not only V-shaped but also L-shaped. The news impact curves of S2stage shows L-shaped, the reason is that Ministry of Finance increased the transaction stamp tax, which can increase the volatility of the stock market.