The Impact of Reduced Holding Behavior Information of the Restricted Stock on Market Volatility--Based on the Shenzhen Stock Market

摘要：

In order to study the influence of reduced holding behavior information of the restricted stocks to the Shenzhen stock market, a Ishock-GARCH model is used in this paper. We construct a new liquidity shock measure to represent the market influence brought by reduced holding behavior information of the restricted stock and then put it into GAKCH model to do the empirical study. The results show that on one hand the influence brought by the liquidity shock of reduced holding behavior information is very large. On the other hand, although the overall volatility in the bear market period is higher than the bull market period, the volatility brought by the liquidity shock of reduced holding behavior information in the Shenzhen stock market is more obvious in the bear market period.

关键词： Restricted Stock CARCH model liquidity shock volatility

作者: Ling feng Shanxia Xie

作者单位: Department of finance, Fuzhou University, Fuzhou, Fujian province, 350002, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 826-830

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）