| Financial market volatility study is an important problem in analysis of capitalasset pricing and defense of financial risk．The increasing availability of financialmarket time series data at intraday, Analysis and modeling of high frequencyfinancial time series have been a remarkable problem．Trading day and non-tradingdays are equivalent, then from the close of trading Friday to the close of tradingMonday variance should be consecutive trading day closing (close of tradingMonday to close of trading Friday price)3times.Fama(1965), French(1980),andFrench and Roll(1986) used the empirical data evident this problem.Fama(1965), French(1980),and French and Roll(1986) show that this is not thecase. These three research studies estimate the second variance to be, respectively22%,19%,and10.7%higher than the first variance.At this stage one might be tempted to argue that these results are explained bymore news reaching the market when the market is open for trading. But research byRoll (1984) does not support this explanation. Roll looked at the price of orangejuice futures. By far the most important news for orange juice futures prices is newsabout the weather and this is equally likely to arrive at any time. When Roll did asimilar analysis to that just described for stocks, he found that the second(Friday-to-Monday)variance for orange juice futures is only1.54times the firstvariance.The only reasonable conclusion from all this is that volatility is to a largeextent caused by trading itself.(Traders usually have no difficulty accepting thisconclusion!).So we now interesting is how about the China stock market.In this paper, the empirical investigation is for Shanghai composite index seriesover the period July24.2006to February22.2012with1359trading days and308trading on Friday and the close of trading on Monday data. The following are themain focuses. First，this paper analyze the basic statistical characteristics on thereturns of Shanghai composite index. Second，the variance of Shanghai compositeindex and Friday and the close of trading on Monday data are lucubrated by GARCHand Sample variance model. And then calculate the variance of the two groups dataaccording to the parameters of the models. The results of the Chinese stock marketcompared to the foreign stock market. Third, this conclusion has not been reachedbefore the thesis.At last, this paper found the variance of stock price returns between the closeof trading on Friday and the close of trading on Monday is1.62and1.82times thevariance of stock price returns between the close of trading on one day and the closeof trading on the next day by GARCH and Sample variance model. The results arehigher than foreign scholars, first the behavior and cultural differences of Chineseinvestors and foreign investors, the other hand, the mechanism of China’s capitalmarket. |
