The analysis and prediction of stock prices have always been the focus of our stock market data analysis. The impact of stock crashes on stock prices as well as people's purchasing psychology is huge. This paper explores the changes in the log returns of the stock *ST Beautiful (000010. SZ) before and after the stock market crash for the two major stock market crashes in 2008 and 2015, and the results show that the whole stock is divided into four time periods with conditional heteroskedasticity, which can be fitted with GARCH(1,1). The impact of the crash on the conditional heteroskedasticity of the whole stock is not significant. However, the mean information component of the log-returns before and after the crash will change relatively significantly.

Zhiqin Yang, Yuanyuan Pan. Explore the impact of the stock market crash on the logarithmic return of *ST Beautiful based on the ARMA-GARCH model. Academic Journal of Business & Management (2022) Vol. 4, Issue 7: 123-128. https://doi.org/10.25236/AJBM.2022.040720.

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