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Reviewing on China Development on Stock Market Volatility Model for The Last 20 Years

In: Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022)

Author

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  • Yue Wei

    (Beijing Normal University - Hong Kong Baptist University United International College, Division of Science and Technology)

Abstract

Studying for volatility is important for risk management, since extreme shock can have terrible impact on the economy as well as on people’s lives. Therefore, this article would like to review on the development of stock market volatility model in China for the last 20 years, hoping to find out how the scholars think of those models, what are the problem to these models and what is the future direction of studying the volatility model. The article does a literature review on some of the researches done for the study on the volatility of China stock market, focusing on what model they use, what data they use as well as the reason and what they find in conclusion and whether there is any latest research on some new model to estimate volatility. The review finds that finding the suitable distribution instead of normal distribution on volatility model to better describe the heavy-tailed, high-kurtosis and asymmetric characteristic of China stock market, and applying high-frequency and mixed frequency data has been a trend of research in China. Therefore, applying more latest and derived mixed frequency data when predicting the volatility of China stock market or looking for more macro variables that are related with the fluctuation, comparing how they perform in China stock market and which distribution can help those models to predict the volatility better will be the research direction and possibly the development trend of future research for China.

Suggested Citation

  • Yue Wei, 2023. "Reviewing on China Development on Stock Market Volatility Model for The Last 20 Years," Advances in Economics, Business and Management Research, in: Hrushikesh Mallick & Gaikar Vilas B. & Ong Tze San (ed.), Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022), pages 535-542, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-098-5_60
    DOI: 10.2991/978-94-6463-098-5_60
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