Empirical analysis of stock returns volatility in China market based on Shanghai and Shenzhen 300 Index

Author

Pan, Wenrong

Author_Institution

Coll. of Finance & Stat., Jiangxi Univ. of Finance & Econ., Nanchang, China

fYear

2010

fDate

18-20 June 2010

Firstpage

17

Lastpage

21

Abstract

Based on Shanghai and Shenzhen 300 Index, this paper firstly uses such GARCH family models as EGARCH, TGARCH, etc to analyze the volatility of the stock returns series of A share in China. In conclusion, the stock returns series is stationary and has a outstanding ARCH effect. There is a volatility clusters in China stock market. Moreover, a negative shock return generates more volatility than a positive shock of equal magnitude. Thus, the volatility of stock returns has the leverage effect. It can be said that the asymmetrical effect in China stock market is outstanding.

Keywords

autoregressive processes; stock markets; China stock market; EGARCH model; GARCH family models; Shanghai index; Shenzhen 300 index; TGARCH model; leverage effect; negative shock return; positive shock return; stock returns volatility; Agriculture; Cultural differences; Data engineering; Economic indicators; Finance; Humans; Performance analysis; Production; Region 5; Stability; GARCH family; Shanghai and Shenzhen 300 Index; leverage effect; volatility;

fLanguage

English

Publisher

ieee

Conference_Titel

Financial Theory and Engineering (ICFTE), 2010 International Conference on

Conference_Location

Dubai

Print_ISBN

978-1-4244-7757-9

Electronic_ISBN

978-1-4244-7759-3

Type

conf

DOI

10.1109/ICFTE.2010.5499433

Filename

5499433