Comparative Research Of China And US GEM Volatility

The volatility is one of the basic features of the stock market, stock price Volatility is important for the existence and development of the stock market. The normal fluctuation of the stock price is a prerequisite for the stock market to play the role of resource allocation. It is also the basis for investors to obtain the reasonable and legitimate investment income. It plays a positive role in securities market norms and maturity.Using the modern financial theory and statistical theory, this thesis takes the Shenzhen GEM Index and the Nasdaq index to yield as objects of study. Using a combination of statistical analysis and empirical analysis of ARCH models, the thesis studies two market index of return rate volatility.Firstly this article describes the current situation of the domestic and foreign academic research of the volatility of the stock market, the definition of volatility, and the main features of the volatility, including the Gathering, the Leverage effect and the Persistence of fluctuations.We also study methods of fluctuations measurement, including descriptive statistics and ARCH models,and focus on the methods of ARCH models on the Gathering, the Leverage effect and Persistence of fluctuations; Next, we research on the fluctuations performance of the Shenzhen GEM index and the Nasdaq composite index, by analysis of the trend of the different periods; Then,we select samples to analysis and test. Different ARCH models are used to study and analyze the volatility of the GEMs in China and the United States, including volatility persistence, volatility leverage effect and empirical analysis of the relationship of benefits and risks; Then according to the results of empirical research,we analyze the possible reasons that cause the differences between the two GEMs from the trading system, the distribution system,delisting system and investor behavior characteristics. Finally, this article gives conclusions and make recommendations accordingly.