The Empiricial Study Of Shanghai And Shenzhen Stock Market Yield Volatility’s Characteristics

In the era of economic globalization, various information changing rapidly, especially for the complicated financial market, there is full of uncertainty and randomness. The stability of financial market plays an important role in the national economic stability, and minor change will induce financial markets dramatic volatility, so we can see its vital effect. The existing research about the characteristic of yield volatility mainly lies in foreign financial market, there is only a few in the domestic market. The domestic financial market starts late, but the pace of development is extremely rapid, and there are unique developing mode and economic system in our country, it is not applicable for adopting foreign experience directly and we need a specialized set of system and method to solve the problem encountered in the process of financial developing, so the research of domestic financial market is a must.Being composite stock price index’s highly representativeness, it is used to analyzing the characteristics of yield volatility. The sample range is shanghai and shenzhen market’s stock price index from1990to2011, and the article contains mainly four parts:The first part is mainly about the yield distribution of domestic stock market, the characteristics of yield volatility, the current situation of China’s stock market as well as the purpose and significance to researching the yield volatility.By investor, personal investors account for the most of the market participants, and the overall quality and knowledge of the personal investors is poor; By management, lax supervision and terrible information disclosure system need reforming urgently and the present stock market is vulnerable to the influence of policy; By market, the price fluctuates dramatically and the smaller investors imitate institutional investors’purchase strategy blindly; Chinese stock market set up late, but it develops extremely rapid, so it will occur various problems inevitably, and as the foundational asset, stock is vital to implement risk management, derivatives reasonable pricing and asset portfolio choosing correctly. Therefore, it is important to do an exhaustive research into the stock market so that we can provide more guidance to the financial market’s healthy and orderly development.The second part is the description of the yield volatility research method and theory. Combining with statistical methods and theory, we form the overall framework by analyzing the stock market’s agglomeration effect, day-of-the-week effect, asymmetric effect, risk value, transfer effect, etc.In current survey, scholars found than the returns are T distribution which has higher peak and thicker tail, and the agglomeration effect is also obvious, but the day-of-the-week effect in the market has also disappeared slowly, and the transfer effect still exists in different markets. However, there is not a consistent view on question of the asymmetric effect. The paper references scholars’research theory and statistical methods, uses ARCH models to estimate the volatility’s change, applies Engle’s symbol test to testify asymmetric effect, and ultimately utilizes VAR model to describe the spill effect between different markets.Combining with graphics, forms and econometrical software, we analyze the yield volatility’s characteristics one by one in the third part. The analysis is based on the hypothesis that the yield series shows obvious T distribution mode, so we do various tests and analysis by using the theories and methods which have introduced in the second chapter, and finally we have an overall understanding of the return rate volatility’s characteristics about domestic markets.The fourth part is conclusions and recommendations. By analyzing, we conclude that domestic stock market’s revenue rate volatility is still very strong, the market is extremely volatile and not effective, at the same time, lagging and transfer effect still exist but Day-of-the-week effect has already disappeared slowly. The peculiarity of China’s stock market not only lies in the limitations of its own development, but also in policy’s influence and inadequate supervision, therefore measures should be taken from various aspects, thus the effects are satisfying.By referencing other scholars and experts’ideology, I have my own article idea and structure. Using the concept of Value-at-risk to measure the transfer effect of yield volatility is the article’s highlight, but there are also many defects in the article. Firstly, the selection of the indictors lacks sufficient argument. Secondly, the division of the periods in the empirical analysis is a little subjective and one-sided. Thirdly, the poor writing style and some hypothesizes are the paper’s defects and I need more practicing.