The Research On Asymmetric Stock Market Volatility On The Basis Of Stock-level And Market-level

Most financial assets tend to exhibit asymmetric volatility.For the same amount of return changes,negative return shocks are accompanied by larger future volatility,while positive shocks areaccompanied by smaller future volatility.Current scholars have also conducted in-depth research on the asymmetric volatility phenomenon with financial assets,and the theoretical explanations put forward at present are mainly: time-varying risk premium theory and leverage theory.Domestic scholars’ research on this phenomenon is mainly focused on the study of market indexes.At present,few scholars will analyze the phenomenon of asymmetric volatility at the level of individual stocks.In order to make up for the current research gap,this paper is different from most previous scholars directly study the different effects of a factor on asymmetric volatility.Instead,according to the specific risks of companies and market risks,the influencing factors of asymmetric volatility are divided into two aspects: stock-specific factors and market factors.In terms of models,the asymmetric second-order regression model and asymmetric third-order regression model are established to study the most critical factors affecting the asymmetric volatility of the Chinese stock market.Leverage theory reflects the specific risk of individual stocks,while time-varying risk premium theory reflects the systematic risk factors of the market.At the same time,the study from the two aspects of individual stocks and the market can provide new guidance for solving the longstanding differences in asymmetric volatility research.In the end,this paper draws a conclusion: in China’s stock market,there are significant asymmetric fluctuations at both the individual stock level and the market level,and the negative news of the same magnitude in our stock market will bring greater future fluctuations than the positive news of the same magnitude.Moreover,the asymmetric volatility phenomenon exists in both the specific factors of individual stocks and the systematic factors in the market.The results of this study support the theory of time-varying risk premium,which reflects systemic risk,rather than the theory of leverage,which reflects specific risk.In addition,it is found that the intensity of asymmetric volatility in Chinese stock market decreases significantly with the increase of company size,that is,the larger the market value,the smaller the degree of asymmetric volatility.The situation of this reaction is in line with the actual situation that the small and medium-sized board of Chinese stock market and the GEM stock volatility is larger.