Empirical analysis of stock returns volatility in China market based on Shanghai and Shenzhen 300 Index
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...
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| creator | Wenrong Pan |
| description | 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. |
| doi_str_mv | 10.1109/ICFTE.2010.5499433 |
| format | Conference Proceeding |
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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.</description><identifier>ISBN: 9781424477579</identifier><identifier>ISBN: 1424477573</identifier><identifier>EISBN: 9781424477593</identifier><identifier>EISBN: 142447759X</identifier><identifier>DOI: 10.1109/ICFTE.2010.5499433</identifier><language>eng</language><publisher>IEEE</publisher><subject>Agriculture ; Cultural differences ; Data engineering ; Economic indicators ; Finance ; GARCH family ; Humans ; leverage effect ; Performance analysis ; Production ; Region 5 ; Shanghai and Shenzhen 300 Index ; Stability ; volatility</subject><ispartof>2010 International Conference on Financial Theory and Engineering, 2010, p.17-21</ispartof><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://ieeexplore.ieee.org/document/5499433$$EHTML$$P50$$Gieee$$H</linktohtml><link.rule.ids>309,310,776,780,785,786,2052,27902,54895</link.rule.ids><linktorsrc>$$Uhttps://ieeexplore.ieee.org/document/5499433$$EView_record_in_IEEE$$FView_record_in_$$GIEEE</linktorsrc></links><search><creatorcontrib>Wenrong Pan</creatorcontrib><title>Empirical analysis of stock returns volatility in China market based on Shanghai and Shenzhen 300 Index</title><title>2010 International Conference on Financial Theory and Engineering</title><addtitle>ICFTE</addtitle><description>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.</description><subject>Agriculture</subject><subject>Cultural differences</subject><subject>Data engineering</subject><subject>Economic indicators</subject><subject>Finance</subject><subject>GARCH family</subject><subject>Humans</subject><subject>leverage effect</subject><subject>Performance analysis</subject><subject>Production</subject><subject>Region 5</subject><subject>Shanghai and Shenzhen 300 Index</subject><subject>Stability</subject><subject>volatility</subject><isbn>9781424477579</isbn><isbn>1424477573</isbn><isbn>9781424477593</isbn><isbn>142447759X</isbn><fulltext>true</fulltext><rsrctype>conference_proceeding</rsrctype><creationdate>2010</creationdate><recordtype>conference_proceeding</recordtype><sourceid>6IE</sourceid><sourceid>RIE</sourceid><recordid>eNpVkE9Lw0AUxFdEUGq-gF7eF0jdf8lmjxJSLRQ8mHt5SV6atemmZKMYP70Be3FgGH6XYRjGHgRfC8Ht0zbflMVa8oUTba1W6opF1mRCS62NSay6_sfG3rIohA--SCdSCn3HDsXp7EZXYw_osZ-DCzC0EKahPsJI0-foA3wNPU6ud9MMzkPeOY9wwvFIE1QYqIHBw3uH_tChW2qaBcj_LAbFOWx9Q9_37KbFPlB0yRUrN0WZv8a7t5dt_ryLneVTbJuMk6yksIhCKtvoNjO65caoWkiSUifEqa2qTKV1wyVPUpNhSkKkrUmtUSv2-FfriGh_Ht0yc95f3lG_ffNX8w</recordid><startdate>201006</startdate><enddate>201006</enddate><creator>Wenrong Pan</creator><general>IEEE</general><scope>6IE</scope><scope>6IL</scope><scope>CBEJK</scope><scope>RIE</scope><scope>RIL</scope></search><sort><creationdate>201006</creationdate><title>Empirical analysis of stock returns volatility in China market based on Shanghai and Shenzhen 300 Index</title><author>Wenrong Pan</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-i90t-9d80e2b219aa1239d4f874f0773c12e2245e0efbb836cd0205678a6e116f76973</frbrgroupid><rsrctype>conference_proceedings</rsrctype><prefilter>conference_proceedings</prefilter><language>eng</language><creationdate>2010</creationdate><topic>Agriculture</topic><topic>Cultural differences</topic><topic>Data engineering</topic><topic>Economic indicators</topic><topic>Finance</topic><topic>GARCH family</topic><topic>Humans</topic><topic>leverage effect</topic><topic>Performance analysis</topic><topic>Production</topic><topic>Region 5</topic><topic>Shanghai and Shenzhen 300 Index</topic><topic>Stability</topic><topic>volatility</topic><toplevel>online_resources</toplevel><creatorcontrib>Wenrong Pan</creatorcontrib><collection>IEEE Electronic Library (IEL) Conference Proceedings</collection><collection>IEEE Proceedings Order Plan All Online (POP All Online) 1998-present by volume</collection><collection>IEEE Xplore All Conference Proceedings</collection><collection>IEEE Xplore</collection><collection>IEEE Proceedings Order Plans (POP All) 1998-Present</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Wenrong Pan</au><format>book</format><genre>proceeding</genre><ristype>CONF</ristype><atitle>Empirical analysis of stock returns volatility in China market based on Shanghai and Shenzhen 300 Index</atitle><btitle>2010 International Conference on Financial Theory and Engineering</btitle><stitle>ICFTE</stitle><date>2010-06</date><risdate>2010</risdate><spage>17</spage><epage>21</epage><pages>17-21</pages><isbn>9781424477579</isbn><isbn>1424477573</isbn><eisbn>9781424477593</eisbn><eisbn>142447759X</eisbn><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.</abstract><pub>IEEE</pub><doi>10.1109/ICFTE.2010.5499433</doi><tpages>5</tpages></addata></record> |
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| source | IEEE Electronic Library (IEL) Conference Proceedings |
| subjects | Agriculture Cultural differences Data engineering Economic indicators Finance GARCH family Humans leverage effect Performance analysis Production Region 5 Shanghai and Shenzhen 300 Index Stability volatility |
| title | Empirical analysis of stock returns volatility in China market based on Shanghai and Shenzhen 300 Index |
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