Title: Empirical analysis of volatility in Chinese Stock Market
Abstract: In order to accurately understand the volatility in Chinese stock market, unconditional volatility estimation and conditional volatility models are used to measure and model the volatility,and an dynamic and empirical analysis of characteristics of long-term volatility in Chinese stock market is provided. Empirical results show that high volatility existed in Chinese stock market in the past, but has gradually decreased since 2000;high volatility is accompanied with upside market, while low volatility is accompanied with downside market, which is quite different from the volatility pattern of foreign market. The behaviour of volatility exhibits time dependence and asymmetries in Shanghai and Shenzhen stock market,whereas there are more significant leverage effect and volatile in Shenzhen stock market. Shanghai stock market displays more efficiency than Shenzhen stock market and provides more risk premiums.
Publication Year: 2004
Publication Date: 2004-01-01
Language: en
Type: article
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Cited By Count: 1
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