Relationship between Volatility of Shibor Rates and IPOs of Big and Medium Sized Enterprises - An Empirical Study Using Chinese Data

Author

Dong, Lifeng ; Zheng, Xiutian

Author_Institution

Sch. of Stat., Hangzhou Normal Univ., Hangzhou, China

fYear

2010

fDate

22-23 May 2010

Firstpage

1

Lastpage

4

Abstract

Using a daily sample of the 1-week Shanghai interbank offered rate, we research the volatility of Chinese spot rate using EGARCH model, and then calculate its value at risk by VaR-EGARCH model. We also examine the effect of IPOs of big and medium enterprises in Chinese stock market on Shibor rates. The results show that big and medium sized IPOs have a significant impact on Shibor rates. The huge IPOs resulted in abnormal volatility of Shibor rates, and caused great risk in the 2007 and 2008. The reform of IPOs system in 2009 has reduced the effect of huge IPOs on Shibor rates a lot.

Keywords

autoregressive moving average processes; economic indicators; stock markets; Chinese spot rate; Chinese stock market; IPO; VaR-EGARCH model; big and medium sized enterprises; shibor rates; stock market; value at risk; volatility; Economic indicators; Educational institutions; Investments; Measurement uncertainty; Pricing; Security; Statistics; Stochastic processes; Stock markets; Tail;

fLanguage

English

Publisher

ieee

Conference_Titel

Intelligent Systems and Applications (ISA), 2010 2nd International Workshop on

Conference_Location

Wuhan

Print_ISBN

978-1-4244-5872-1

Electronic_ISBN

978-1-4244-5874-5

Type

conf

DOI

10.1109/IWISA.2010.5473619

Filename

5473619