Research On The Asymmetry Of Volatility In China's Stock Market From The Perspective Of Corporations

Volatility is one of the important features of financial assets.Research on volatility has always been the core of financial research.Among many fluctuation characteristics,the asymmetry of fluctuations is the focus of attention of a large number of experts and scholars.The asymmetry of volatility refers to the inconsistency between the positive and negative shocks.For the stock market,it generally shows that the negative impact caused by negative shock is greater than the positive impact,also called the lever bar effect,and vice versa.Pole bar effect.China's stock market has developed rapidly as an emerging capital market.However,there are still many immature places and some features that are different from mature foreign capital markets.Therefore,taking China's stock market as a research object has certain significance.Since the 1980 s,the research on the causes of the asymmetry of financial assets has gradually formed several mainstream perspectives,including the financial leverage hypothesis,the volatility feedback hypothesis,and the influence of investor sentiment in behavioral finance on the stock market.At present,the research on the domestic stock market is basically starting from the above theories,comparing the volatility asymmetry of different markets or different stages of the same market,and less concerned about the possible influence of the company's factors on the asymmetry of volatility.From the perspective of the company,this article takes the A-share listed on the Shanghai Stock Exchange as the research object,and explores whether the company's factors have influence on the asymmetry of the stock price volatility and its degree of influence.In this paper,the asymmetry coefficients of the A shares of Shanghai Stock Exchange are calculated by EGARCH model and GJR-GARCH model respectively,and the panel variables are composed of the factor variables of the corresponding company.These data are modeled using different panel models respectively,and the company's characteristic variables are studied.Whether company factor has influence on asymmetry of stock price and the degree of influence.The main conclusions of this paper include the following three points: ? value and market capitalization are the only two company factors that have an impact on asymmetry,and the influence of ? value is greater,and the coefficient of the regression result is more significant;the company factor is asymmetry.The impact of the time does not have a time effect,that is,the influence of the company's factors on the asymmetry fluctuation of the stock price is consistent at different stages;the industry does not have a significant impact on the asymmetry fluctuations of individual stocks.Based on the above conclusions,the paper gives the corresponding policy recommendations at the end,and puts forward the prospects for the future research on the unsolved problems in the empirical research.