The Impact Of Institutional Change On Stock Market Volatility

In Recent Years,with the Transformation and Upgrading of the Economic Structure,More and More Attention has been Paid to the Related Research on the Changes of Economic System.China’s A-Share Market has Become the Second Largest Stock Market after the United States.Studying the Impact of Institutional Change on Stock Market Volatility in China can Provide some Empirical Evidence for the Transformation and Upgrading of China’s Economic Structure,Especially for the Reform of the Stock Market,and can also Explore whether It is the Cause of the High Volatility of China’s Stock Market from the Perspective of Institutional Change.Therefore,Based on the Index System of Jin YuGuo(2001),this Paper Further Enriches and Improves the Index System,Modifies the Errors and Shortcomings of the Index System,and Constructs the Index System of Institutional Change from Four Perspectives: the Degree of Opening Up,the Structure of Property Rights and the Degree of Marketization,the Government’s Intervention in the Market and the Level of Financial Development.Each Secondary Index has Two or Three Third-Level Indicators,and the Weight of each Index is Determined by Principal Component Analysis and Entropy Weight Method Respectively.Then,by Constructing Vector Autoregression Model(VAR),We Use Impulse Response Function to Empirically Analyze the Impact of Various Indicators of Macroeconomic Institutional Change on Stock Market Volatility.The Change of Economic System can Restrain the Fluctuation of Stock Market to A Certain Extent,and the Influence is more Lasting and Gentle.This is Consistent with Previous Research Results,Indicating that the Empirical Conclusions have a Certain Degree of Robustness.Four Secondary Indicators of Economic System Change can all Play an Inhibitory Role,but Their Effects are Different in Time Lag and Intensity.Among them,the Government’s Intervention in the Market is the Strongest,Followed by the Level of Financial Development,and the Effect of Diversification of Property Rights Structure is the Weakest.There is a Certain Degree of "Distance Effect" in the Impact of the Secondary Indicators of Economic Institutional Change on the Volatility of A-Share Market.That is to Say,the Closer the Relationship with A-Share Market is,the Closer the Distance is,the more Easily the Indicators are Perceived,the Stronger their Effect is.The Possible Innovations or Academic Marginal Contributions of this Paper are as Follows:Firstly,this Paper Further Enriches and Improves the Indicator System of "Institutional Change",Corrects some Defects and Fallacies in the Original System;Secondly,this Paper Improves theFrequency of Data in the Indicator System of Institutional Change,Enhances the Length of Data,and Enhances the Robustness of Empirical Results;Thirdly,this Paper Advances One.Step by step,this Paper Studies the Impact of the Secondary Indicators of Institutional Change on Stock Market Volatility,which Increases the Depth of Research.