The Study Of The Volatility Of China’s Stock Market And The Influence Of Funds Investing Activity

China is a new developing financial market. Shanghai market and Shenzhen market havebeen starting for more than twenty years. During the twenty years, China has experienced twolarge financial crises. But Stock Market in China has been still running well and successfullystarted GEM. However, China is a new developing market. The volatility of market is especiallyviolent and has exclusive characteristic, such as long-time bear market and short-time bull market;large volatility; excessively response for the message. Additionally, funds, as the organizationalinvestors, can affect the volatility of the stock market in our country by its investment behavior.As a result, it is important for the administrative department and investors to do research for thevolatility of the stock market in our country. Consequently, it can be good for the stock market todo well in distributing the resource in our country.Research of the volatility of the returns in the stock market is always the key point in theresearching field. The researchers started to do the research by graph. Then they tried to useindicators to reflect the volatility’s characteristic. They developed the ARCH model and GARCHmodel to reflect the characteristic of volatility. Then the researchers started to learn the factorswhich can affect the volatility, such as the policies, organizational investors, and philosophies ofinvestors. An increasing number of researchers start to emphasize the analysis of the influencethat the herd instinct and feedback instinct of funds’investing behavior do to the volatility ofstock market.In this essay, we went over the researching methods and results of relative researchers. Basedon that, we analyzed the characteristic of volatility of returns in the Index of Shanghai, Shenzhenand GEM. Also, we make a comparable analysis among them. We still use GARCH model toreflect the characteristic of the volatility of returns of the three markets. And we still makecomparable analysis of the results of the three models. We established a pool of stocks to reflectthe volatility of stock markets in China. We established a new logarithm model to reflect theinfluence that the investing of funds do to the volatility of the stock markets. According to therelative research in this paper, we arrived at the conclusion following:(1)the returns of Shanghai market，GEM and Shenzhen market all have obvious high peakand big tail. GEM is left with the largest scale and Shanghai market with the lowest scale.(2)the array of returns of Shanghai market and Shenzhen market reflects obvious ARCHeffect, but GEM market doesn’t show obvious ARCH effect. Among GARCH(1, 1) model, TGARCH(1, 1) model and EGARCH(1, 1) model, the results of EGRACH(1, 1) model is best.The volatility of returns in the two markets is obvious levering, clustering, long-memorable andlong-lasting, mean reversing. Compare to Shenzhen market, Shanghai market appears to be moreasymmetric which means it has more leverage impact. EGARCH (1, 1) model can do well toerase the ARCH effect of the array of the Index of Shanghai and Shenzhen.(3)the pool of stocks which we established can do well to simulate the volatility of returns instock markets in our country. The plate market in the stock market will be affected by thedifferences among stocks. As a result, the trend of running in stocks is different. Also, it can beaffected differently by the investment of funds. The investment of funds in our country is mainlypositive fade back investing policy which can positively affect the volatility of returns in stockmarkets. Meanwhile, the attention of funds can positively affect the volatility. Comparable toinfluence factors such as exchange rate, the extent of affecting by the investment of funds isexcessively larger.