Comparative Analysis Of The Leverage Effect Of China's Stock Market

The asymmetric relationship between the rate of return and the volatility in the stock market has always been the topic in financial and economic research.Leverage effect has paid much attention.Since the establishment of China's mainland stock market,mainland stock market still has high attention to the stock market volatility,although it has been shorter than the Hong Kong and Taiwan markets,it has differences with the Hong Kong and Taiwan markets.Under different market stage,the research of the volatility leverage effect of the Shanghai Composite Index,Hong Kong Hang Seng Index and Taiwan Taiex Index will help regulators understand the market's volatility characteristics,thus can promoting the market move in a more rational and healthy direction.Through the research of related literatures at home and abroad,this paper uses ARMA-EGRACH model to measure the leverage effect of stock market volatility,and divides the closing price of January,2010 to December 2018 in mainland China,Hong Kong and Taiwan into bull market.Through comprehensive comparative analysis,we found that: First,China's three major stock market indices have shown leverage effect during the whole sample period.The leverage factor of the Hong Kong Hang Seng Index and the Taiwan Taiex Index is significantly negative,indicating a significant leverage effect,but the mainland market is not significant.Second,the leverage effects of three stock markets are different under different market conditions.Among them,there are significant differences at different stages.In the bear market stage,the Shanghai Composite Index and the Hong Kong Hang Seng Index and the Taiwan Taiex Index all have significant leverage effects.In the bull market,both the Hong Kong Hang Seng Index and the Taiwan Taiex Index have leverage effects,while the Shanghai Composite Index has a reversal effect of leverage,indicating that the leverage effect at this time is not significant.