The Researches on the Asymmetric Volatility during Bull and Bear Phases in Chinese Stock Market

Using Shanghai and Shenzhen stock index as an example, this paper investigates the asymmetric impact of good and bad news on the volatility of Chinese stock market during bull and bear phases by employing the asymmetric stochastic volatility model (SV). The empirical results show that bad news has greater impact on market volatility than good news during bull phase, while weaker during bear phase. So as to explain the different asymmetric phenomena from others, we subdivide the bear phase and draw the conclusion that there exists inverse asymmetric volatility during prophase and anaphase, at last we explain it with behavioral finance.