关键词: 开放证券市场, 波动率分解, GARCH-jump, ARJI

Abstract: It is necessary to evaluate the effect and optimal speed in the accelerated opening process of China's security market. It breaks up the volatility into continuous and jump component, analyses the influence of acceleration on stock market, and estimates the optimal growth pace based on the size and structure of total volatility. The empirical research finds that the accelerated introduction of foreign institutional capital could be good for decreasing the volatility. But the information efficiency is still low, which is evidenced by large proportion of jump in variance. The optimal speed is affected by different market conditions. The proper monthly growth in the approval of foreign capital could be about 12 percent monthly. Finally, it proposes the advice on introducing foreign capital to strengthen stock market.

Key words: opening of security market, volatility decomposition；GARCH-jump；ARJI