Leverage Effect In Chinese And American Index Returns

A lot of changes have happened in the Chinese economy in the last three decades. To study whether these changes affect the symmetric or asymmetric behavior of the volatility in Chinese Stock Market, in this paper we analyze, first, the main stylized facts in similar Chinese and American index return...

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Veröffentlicht in:	The international business & economics research journal 2012-12, Vol.11 (13), p.1513
Hauptverfasser:	Garcia-Centeno, Ma Carmen, Minguez, Roman
Format:	Artikel
Sprache:	eng
Schlagworte:	Behavior Economic reform Hypotheses International business Kurtosis Noise Securities markets Standard deviation Stock exchanges Time series Volatility
Online-Zugang:	Volltext
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