Research On The Stock Price Fluctuation Of Chinese Securities Company

The current research for the volatility is mainly about the index of equity marketin China, rather than about the individual share or industry segments, still less aboutthe Hongkong stock market. Due to the rapid development of the Chinese securitiesmarket, the securities company will play a more important role in our society. In orderto make a contribute to the empirical research of the stock price volatility, this paperresearched the stock price volatility characteristic of securities company in ChineseMainland and Hongkong.The research object of this thesis is the stock price volatility of Chinese securitiescompany, and contains several parts as follows. First，this thesis introduces theresearch background, research status, and the ideas, structure, methods and technicalroute of the paper as a whole, and this paper introduces the related researches of thisfield, the analysis of time series and the GARCH model are introduced too. The writerintroduces present situation of Chinese securities company, and choose the stock priceof six securities company from january1,2010to august1,2013as the study object,and describes the distribution characteristic of their stock price and yield rate. Theresult is that the Time series of their stock price and yield rate have piercing peak andfat tail. Then, in order to research the volatility characteristic, the writer analyse theyield rate of these six securities company by GARCH models. The result is that theTime series of their stock yield rate is a autocorrelation, they have obviousaggregation and weak asymmetry, the yield and the risk is interrelated, but theinterdependency is not obvious. Finaly, the writer choose two dual listing securitiescompany (Zhongxin, Haitong) as the study object, to research the volatility linkage,cointegration and Granger causality. The result is that there is a short reciprocitybetween the A share and H share of Chinese securities company, but the longreciprocity is not stable. This Paper uses qualitative and quantitative, normative analysis and empiricalanalysis, theoretical and Practical combined research methods, using econometricmethods(such as time series, antoregressive, conditional variance, etc.),and softwareEVIEWS to program and compute.The research’s innovative point is the writer regard these securities company as awhole, and the writer analyse the fluctuation of securities plate’s stock price. It is rareto see in academic circle. moreover, the writer pay attention to the Linkage between Ashares market and H shares market, and it consummated our research.