The results show that there is serious herd behavior in our stock investment fund, and it has a remarkable positive relationship with stock price volatility, which indicates that our investment funds industry does not have the ability to maintain market stability.
This article carries on the empirical research on the Chinese stock market with Shiller-Sentana-Wadhwani model on the basis of garch model. We draw the conclusion that feedback trading exists in our stock market and its degree aggravates as the increase of the stock price fluctuation as well as the price limits.
The following is main conclusions of this article. 1st, in 2000 and 2001, around the announcement of the rename of stocks, have the obvious price fluctuation, the market existence responded ahead of time and overreaction.
This paper introduces the latest research results both domestic and foreign, and puts forward four mechanisms of the stock price fluctuating in China. It analyses the characteristics of stock price, and points the policy and investors behavior particularly influence the fluctuation of stock price.
In addition, investment double value of transferable bond is affected by price of A-stock and share transfers, residual period, fluctuation of stock price, non-venture income and so on. At the same time, all the factors build up a uncertain system, some of its information is unknown and some is known.
The article introduces EMH briefly and current studied situation both at home and abroad, reviews the theory and method of EMH testing from angle of the suitable Chinese market, thinks normal distribution isn't the one that the fluctuation of stock price obey, and Random Walk Model (RWM) doesn't meet the research of EMH in stock market of China.
Using the Geometric Brown Motion model we simulate the fluctuation of stock price during a period of time and draw its curve,then compare the curve with that of the real stock price,we find that the fluctuation of stock price is almost consistent with the Geometric Brown Motion intuitively.