| With the rapid development of Chinese economy,the stock market is playing an increasingly important role,and accompanied by huge risk.Moderate fluctuation of the stock market within a certain range can help realize the financing function of the capital market and thus improve the efficiency of resource allocation.It is unreasonable if the fluctuations are out of a certain range,that is,to fluctuate violently and frequently may have adverse consequences.Therefore,the research object of this paper is the volatility of the stock market,looking for a suitable method to describe the volatility of the market quantitatively,so as to find the law of market change and judge the risk of the market.This paper is to organically combine statistical analysis with empirical research by means of background research,theoretical elaboration,statistical analysis and empirical research.The four representative indexes of Chinese stock market--Shanghai composite index,Shenzhen component index,sme board index and gem board index are selected as the research objects,representing Shanghai stock market,Shenzhen stock market,sme board market and gem market respectively.The low-frequency and high-frequency data onto the four stock indexes were obtained respectively.Starting from the statistical characteristics of the four index return sequences,apply the relatively mature conditional heteroscedasticity model for low-frequency data to establish three conditional heteroscedasticities models,namely GARCH model,GARCH-M model and EGARCH model,to quantitatively describe the volatility of Chinese stock market.To analyze the price changes of high-frequency data by establishing two models,namely sequential probabilistic value model and decomposition model,the purpose of to reflect the micro-structure of the stock market.This paper finds the following conclusions of research:The trend and yield sequence of the Shanghai composite index and the Shenzhen component index are roughly consistent.This shows that under the same economic environment and policy constraints,the trading and operation of Shanghai stock market and Shenzhen stock market are roughly the same.But the main board market is obviously different from the sme board market and gem market,the latter have higher risk.In 2018,the stock market of the four major markets is not optimistic due to the continuous decline and continuous decline.The returns series of the four stock indexes all showed the following characteristics: their means fluctuate around zero,in distribution deflecting to left,excess kurtosis greater than zero,sharp peak and thick tail of the density function distribution curve did not conform to the normal distribution,all of them passed the stationarity test and had sequence correlation.The high frequency data is less discrete and more concentrated distribution and more characteristic of sharp peak and thick tail than the low frequency dataThe risk premium parameter c of the low-frequency data onto the four stock indexes is all positive,indicating that the return rate is positively correlated with its past volatility,and all of them have asymmetric characteristics.The timing diagram of trading volume sequence of high-frequency data presents u-shaped cycles,while the ACF diagram of trading volume sequence presents regular and periodic fluctuation,namely the so-called daily pattern or daily cycle phenomenon,which fully shows that high-frequency data can reflect the micro market.The price changes of the high-frequency data of the four stock indexes are all dynamically dependent.The sample data do not show the price reversal phenomenon of high-frequency trading data,the market does not show the effectiveness due to the influence of subjective factors of investors.Finally,this paper puts forward the following Suggestions based on the analysis results.For investors,we should popularize the correct investment philosophy of them and guide them to invest rationally.For listed companies,it is necessary to strengthen the supervision and audit of information disclosure of listed companies.For regulators,we should control the regulatory intensity of regulators.The purpose is to better improve the structure and function of the capital market,promote the healthy development of Chinese stock market,and then promote the healthy development of Chinese economy. |
