DocumentCode
571382
Title
The Volatility of Stock Return in GEM Broad
Author
Fang, Fang ; Chen, Rongda
Author_Institution
Sch. of Finance, Zhejiang Univ. of Finance & Econ., Hangzhou, China
fYear
2012
fDate
18-21 Aug. 2012
Firstpage
272
Lastpage
273
Abstract
The GEM [Growth Enterprises Market] board has been run for two years. It has been playing an very important role in the capital market of our country. This paper we use the class of ARCH model for analysis of the stock return in GEM board. We find that it has strong volatility and the volatility lasts a long time. In the end, we provide some recommendations on GEM future development.
Keywords
stock markets; ARCH model; GEM broad; GEM future development; capital market; growth enterprises market board; stock return volatility; Analytical models; Data models; Educational institutions; Equations; Gaussian distribution; Mathematical model; Stock markets; GEM board Volatility of Stock Return ARCH GARCH;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Intelligence and Financial Engineering (BIFE), 2012 Fifth International Conference on
Conference_Location
Lanzhou
Print_ISBN
978-1-4673-2092-4
Type
conf
DOI
10.1109/BIFE.2012.65
Filename
6305126
Link To Document