Abstract The author adopted the ensemble empirical mode decomposition (EEMD) to investigate the characteristics of the volatility structures of Shanghai composite index and Shenzhen component index and their variance before, during and after the reform of non tradable shares. The empirical results show that compared with before the reform, significant changes have taken place in the volatility structure of China’s stock market after the reform. That is, the short term volatility component becomes the most important factor explaining the total volatility of security market. Meanwhile the average period of medium term volatility component is prolonged greatly. The impact of large scale and concentrated ban lifting and sales of huge amount of restricted shares on the stock market strengthened the short term speculation behavior and triggered a dramatic increase in short term volatility. Besides, RMB appreciation, sub prime crisis and other great events led to permanent medium term fluctuation.
FU Chuan-Dui. Reform of Non tradable Shares and Structure of Stock Market Volatility ——An Empirical Study Based on EEMD. Economic Survey, 2012, (1): 0142.
2012, Vol. 
