Study of the Price Behavior on China Stock Market——A-share in Shenzhen and Shanghai Stock Markets

摘要

Study of the price behavior on Chinese stock market is a important part of Chinese security market research. In this paper we divide Chinese stock price behavior and its impact factors into two parts: rational and irrational,choose indexes separately,use VAR model to quantitative research on the relationship between stock price behavior and its impact factors. Combined with Pulse-response function and figures of empirical results,we find that real economy GDP,new investor number and money supply amount which we chose have great impact on stock price behavior. GDP and new investor number have lagged effect on stock price behavior; however money supply amount has timeliness intensifying effect on it. Through variance decompositions we find stock index has significance effect on new investor numbers which means common investors have obvious irrational behaviors.