Analysis Of The Characteristics And Influencing Factors Of Volatility In Shanghai Composite Index

The speedy development of China’s stock market promoted the updating of concept of social investment,and gradually becomes an important driving force for economic development.However,the excessive fluctuations and activity of stock market contain the potential factors that cause instabilities of economics.There are large fluctuations and high frequency in share price of China’s stock market,seriously keeping investors away and affecting the sustainable development of the national economy.Therefore,studying the fluctuations in stock market and exploring the causes of volatility has certain theoretical significance and practical significance.This paper mostly adopts methods of normal analysis and empirical analysis.Firstly provides a brief overview of the development process of China’s stock market,focuses on ups and downs in stock market.Then sorts out and reviews the domestic and foreign literatures about the stock market volatility.After introducing the main content,the paper describe the characteristics and the factors of the general volatility of the stock market.Then,using generalized GARCH models to fit the volatility of Shanghai Composite Index yield,analyzing the characteristics,this paper found that it has different characteristics such as wave aggregation,asymmetry,and leverage effect.Furthermore,regarding the factors of volatility as entry point,initially singled out 21 candidate factors,these factors reflect the cover price index,the economic sentiment index,monetary policy,interest rate policy,fiscal policy,foreign trade and foreign exchange trading activities reflect the stock market itself trading volume and impact of the situation in China and the world average index of the Dow Jones industrial.Using forward stepwise regression and backward stepwise regression method,the factors influencing the volatility of Shanghai composite index return are screened out.By using co-integration test,we get the long-term equilibrium relationship between the volatility of Shanghai Composite Index and the factors that have been screened out.Furthermore,using VECM model,test the benchmark Shanghai composite index return volatility between short-term and long-term relationship.It is concluded that when the Shanghai composite index yield deviates from the long-term equilibrium state,the error correction term 0.090 coefficient of its back to the result of the long-term equilibrium line.Finally,combined with the above theoretical analysis,the results of empirical research and the reality of our country put forward the corresponding policy recommendations to keep our stock market moderately fluctuant.