A Quantitative Study On The Impact Of Policy Events On China’s Stock Market Volatility

Abnormal fluctuations in China’s stock market are often accompanied by some policy events.Policy events have a certain degree of impact on China’s stock market volatility has become the consensus of the market.However,there is a lack of adequate quantitative study on the impact of policy events on China’s stock market volatility.Based on certain principles,this paper chooses 59 policy events and establishes the GARCH(1,1)model for every event using the CSI 300 logarithmic yield data.The predictive value of the later volatility can be obtained by the GARCH(1,1)model.The predicted value is revised by this paper and the revised value can be the theoretical expectation of stock market volatility if no policy event occurs.The impact of each policy event on the volatility of the stock market is measured by the difference between the historical volatility and the revised value of the volatility forecasted by the GARCH model.And the impact of the policy event on the volatility of the stock market is quantitatively studied by the size of the influence indicator and its evolution with time.The results of this paper show that the impact of different types of policy events is different.The impact of most policy events on stock market volatility is concentrated at-20% to 20%.In the first trading day,the mean absolute impact of policy events on stock market volatility is 5%.The intensity will gradually increase,in tenth trading day,it will reach 13%.In the first trading day,the average impact of the policy events caused the stock market volatility increased by about 2%,but in tenth trading day,the stock market volatility reduced by about 2%.Indicating that the impact of policy events on the volatility of China’s stock market is not "one-sided".The government’s efforts to reduce the volatility of the stock market are receiving results.