China's Stock Market Trading Information And Investment Value Of Research

There are only four trading hours during each working day in the China’s stock market. The non-trading time accounts for more than five sixths of the entire investment cycle. And at the same time, in the China’s stock market, in order to avoid the abnormal volatility of the stock price during the trading time, a large number of macroeconomic data, the central1bank’s monetary policy and most of the important announcement of listed companies publish during the non-trading hours. Although during the non-trading hours, the investors cannot operating the stocks, this information do not only affect the opening price of the next trading day, but also have a certain impact on the price trend of the stock during the trading hours. Therefore, it is very necessary and meaningful to study the information of the non-trading hours and its economic implications.I have divided the thesis into three parts:First, in order to study the affect of non-trading hours information on the revenue and volatility of the trading hours, the paper established the GARCH(1,1) model. After testing the stock market of Shanghai and Shenzhen, the results show that the affection of non-trading hours information on the revenue and volatility of the trading hours is significant and that of Shenzhen is bigger. Then, for the purpose of studying the contribution of the risk of non-trading hours on the entire investment cycle, the paper established the EVT-Copula-VaR and C-VaR model. After examining the stock market of Shanghai and Hong Kong, the result show that the contribution of the risk of non-trading hours on the entire investment cycle of the two market is significant and that of market of Hong Kong is much bigger. Finally, to test the effectiveness of portfolio which contains the non-trading hours information, the paper sets up a mean-variance portfolio selection model. After examining the portfolio of ETF of SH50,SZ100and SH180, the results show that the efficient frontier of the portfolio which contains the non-trading hours information is much more efficient.