DocumentCode :
560337
Title :
Analysis on Asymmetrical Fluctuation of Stock Returns on Historical Information in China
Author :
Zhang, Haiyan ; Dong, Xiaogang
Author_Institution :
Dept. of Basic Sci., Changchun Univ. of Technol., Changchun, China
Volume :
1
fYear :
2011
fDate :
26-27 Nov. 2011
Firstpage :
378
Lastpage :
381
Abstract :
This paper tests the existence of asymmetrical volatility clustering in Chinese emerging stock market and it is found that when innovation is negative, the fluctuation equation is significantly different from the model when innovation is positive. This paper discusses the volatility´s asymmetrical reaction to autocorrelation of stock return and estimates the threshold value of ACF (autocorrelation function). Finally, it is proved by the empirical results that the difference of effect of innovation to fluctuation is significant between positive ACF that is more than some threshold value and negative ACF that is less than other threshold value.
Keywords :
stock markets; Chinese stock market; asymmetrical fluctuation; asymmetrical volatility clustering; historical information; negative autocorrelation function; positive autocorrelation function; stock returns; threshold value; volatility asymmetrical reaction; Correlation; Data models; Equations; Fluctuations; Indexes; Mathematical model; Technological innovation; ACF; AR-TAR-GARCH model; stock returns; volatility clustering;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Information Management, Innovation Management and Industrial Engineering (ICIII), 2011 International Conference on
Conference_Location :
Shenzhen
Print_ISBN :
978-1-61284-450-3
Type :
conf
DOI :
10.1109/ICIII.2011.96
Filename :
6115465
Link To Document :
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