The Researches on the Asymmetric Volatility during Bull and Bear Phases in Chinese Stock Market

摘要：

Using Shanghai and Shenzhen stock index as an example, this paper investigates the asymmetric impact of good and bad news on the volatility of Chinese stock market during bull and bear phases by employing the asymmetric stochastic volatility model (SV). The empirical results show that bad news has greater impact on market volatility than good news during bull phase, while weaker during bear phase. So as to explain the different asymmetric phenomena from others, we subdivide the bear phase and draw the conclusion that there exists inverse asymmetric volatility during prophase and anaphase, at last we explain it with behavioral finance.

关键词： stochastic volatility MCMC asymmetric effect

作者: ZHOU Shaofu FANG Yuan

作者单位: School of Economics, Huazhong University of Science and Technology, China, 430074 School of Economics, Huazhong University of Science and Technology, China, 430070

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-11

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）