STUDIES ON THE CHARACTERISTICS OF VOLATILITY IN CHINA'S STOCK MARKET

This paper mainly focuses on the effects of China's entry into WTO on the volatilities in China's stock market. We divide the time series under study into two subperiods-before and after the date of China's entry into WTO. Then we employ the AR-EGARCH-M model to test the resulting changes of volatilities in China's stock market in the two subperiods and obtain some meaningful results from our analysis. The major findings include (1) the speculation activities in China's stock market are decreasing and Chinese investors are becoming more rational; (2) China's stock market exhibits features of 'Policy Market', but the effect is diminishing; (3) the volatilities in China's stock market also shows characteristics of asymmetry and longer persistence, which are similar to what were found in some developed stock markets.