Proceedings of the 3rd International Conference on Judicial, Administrative and Humanitarian Problems of State Structures and Economic Subjects (JAHP 2018)

<Previous Article In Volume
Next Article In Volume>

The Analysis of the Volatility of China's Stock Market Taking Shanghai Composite Index as an Example

Authors
Qiqi Sun
Corresponding Author
Qiqi Sun
Available Online August 2018.
DOI
10.2991/jahp-18.2018.41How to use a DOI?
Keywords
log return rate; GARCH model family; asymmetry; lever age effect; information impact
Abstract

This paper chooses the relatively persuasive stock index in China, Shanghai Composite Index (000001), using data from December 31, 1997 to April 4, 2018 as the sample of the paper and then calculate them according to the logarithmic rate of return. By using EVIEWS 7 software to test the effect of these samples, this paper select and establish the relevant model, and the fluctuation characteristics of return series are analyzed briefly. Due to the discovery of stock market returns has obvious ARCH effect and through repeated attempts, the author finds that GARCH (1, 1) model is more appropriate when describing the characteristics of the fluctuation of stock index compared with other similar models. Through the descriptive statistical test and the ADF unit root test, it is found that the fluctuation of equity market has the characteristics of "thick" and "clustering". The volatility of the stock returns has a "cluster" character and the financial time series is stable and has the conditional heteroscedasticity. Good news on the impact of the market and investment is weaker than bad news, investors and the market is more sensitive to the bad news. At the end of the empirical analysis, by drawing the information impact curve, we can intuitively see the traits of the financial time series, that is, leverage effect.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

<Previous Article In Volume
Next Article In Volume>
Volume Title
Proceedings of the 3rd International Conference on Judicial, Administrative and Humanitarian Problems of State Structures and Economic Subjects (JAHP 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
August 2018
ISBN
978-94-6252-565-8
ISSN
2352-5398
DOI
10.2991/jahp-18.2018.41How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - CONF
AU  - Qiqi Sun
PY  - 2018/08
DA  - 2018/08
TI  - The Analysis of the Volatility of China's Stock Market Taking Shanghai Composite Index as an Example
BT  - Proceedings of the 3rd International Conference on Judicial, Administrative and Humanitarian Problems of State Structures and Economic Subjects (JAHP 2018)
PB  - Atlantis Press
SP  - 202
EP  - 208
SN  - 2352-5398
UR  - https://doi.org/10.2991/jahp-18.2018.41
DO  - 10.2991/jahp-18.2018.41
ID  - Sun2018/08
ER  -