The Empirical Analysis of the Effect of Circuit Breaker on China Stock Market

Abstract

Since the circuit breakers were carried out in China Stock Market on January 2016, there was sharp fluctuation in the stock market, which forced CSRS to halt the circuit breaker. In order to analyze the influence of circuit breaker on stock market, GARCH model was conducted. It is found that after the carrying out of circuit breakers the fluctuation was significantly larger; the stock market was easily affected by the previous shock; the stock market was more sensitive to the negative shock.