Research On The Influence Of Macroeconomic Environment On The Volatility Of Multi-level Stock Market

China's stock market has been established for nearly 30 years,forming a multi-level stock market dominated by the main board,small and medium-sized board and the ChiNext market.The multi-level stock market structure provides investors and financiers with a broad trading market,and also promotes the rapid development of China's economy.Traditional financial theory holds that information in the macroeconomic environment will have an impact on financial markets.The information of the macroeconomic environment is very important in the research of volatility and asset pricing in financial markets.In this thesis,data from the Shanghai Stock Exchange Index,the small and medium-sized board index and the ChiNext index were used in 2000-2017.The three indexes showed different volatility,mainly reflected in the fact that the volatility of the small and medium-sized board index was significantly greater than that of the remaining two indexes' Volatility.The three sectors are in the same macroeconomic environment,but they show different volatility.Therefore,correctly identify the impact of the macroeconomic environment on the volatility of multi-level stock markets,and formulate economic policies conducive to the development of multi-level stock markets.The macroeconomic environment conducive to the development of the stock market is very meaningful.Traditional volatility models are usually based on data of the same frequency and are usually studied using low frequency data,thus losing a lot of effective high frequency information and mixed frequency information.Based on the previous research methods,this thesis studies the impact of macroeconomic environment on the volatility of multi-level stock market returns from the perspective of mixed frequency data.For the macroeconomic level,this thesis mainly studies from the three perspectives of money supply,interest rate policy and economic sentiment index.For the multi-level stock market,this thesis selects the Shanghai Stock Exchange Index,the small and medium-sized board index and the ChiNext index to represent the situation of the main board market,the small and medium-sized board market and the ChiNext market respectively.This thesis first establishes a traditional low-frequency GARCH-X model that can be added to macroeconomic variables.Before establishing this model,this thesis uses the same-frequency Granger causality test to select macroeconomic variables.The empirical test results show that the GARCH-X model based on low frequency data can not effectively describe the impact of macroeconomic environment on multi-level stock market.Hence,In this thesis,the Granger causality test based on the MF-VAR model is used to select the macro variables,and then the GARCH-MIDAS model is used to establish the volatility model between macroeconomic variables and stock market volatility.The empirical results show that the GARCH-MIDAS model based on mixed frequency data can more effectively describe the fluctuation of multi-level stock market,and the GARCH-MIDAS model with multiple macroeconomic variables can well describe the fluctuation of multi-level stock market.Theoretically,the macroeconomic variables of the three perspectives will have a significant impact on the volatility of the multi-level stock market.However,the empirical results show that the macroeconomic variables of the three perspectives will not significantly affect the volatility of the yields of all sectors.The impact,that is,the three sectors will be affected by different macroeconomic variables.This phenomenon is mainly reflected in the fact that the value of the volatility of the economic sentiment index has a significant impact on the volatility of stocks in the ChiNext,while the remaining two have no significant impact on the sector.The supply of M0 has a significant impact on the stock volatility of the small and medium-sized board market and the ChiNext.There is no significant impact on the motherboard market.M1 supply only has a significant impact on the stock market volatility.M2 supply also has a significant impact on stock volatility in the main board market.The interbank lending rate only has a significant impact on the volatility of stock returns in the main board market.In addition,this thesis also uses the traditional model to study the relationship between the macroeconomic environment and the stock market,that is,the impulse response function based on the low frequency VAR model.The conclusions obtained by this method are not the same as those obtained by the GARCH-MIDAS model.The main reason for the difference is that the frequency of the data used by the two methods is different.The low frequency VAR model and the impulse response function are based on low frequency data,and the GARCH-MIDAS model is based on mixed frequency data.These two approaches provide two different ideas for studying the impact of the macroeconomic environment on the volatility of multi-level stock markets.Finally,based on the results of empirical tests,this thesis puts forward corresponding policy recommendations,in order to have certain guiding significance for the development of real stock market.