Information Impact Effect of Shanghai Composite Stock Index Base On EGARCH Model

摘要：

In this paper, we used Shanghai Composite Index closing price data from January 2001 to April 2009, constituted the EGARCH model base on GED distribution to measure the markets Information Impact Effect.Empirical results show that: the Shanghai Composite Index closing price fluctuations have a leverage effect, bad news have greater volatility than the same amount of good news.When the good news can give the logarithm of conditional variance the impact of 0.230 while the bad news with the impact of 0.592.

关键词： leverage effection information impact EGARCH model

作者: Qunfeng Li

作者单位: Henan Normal University

会议类型: 国际会议

会议名称: 2010 International Conference on Information Technology and Industrial Engineering(2010年信息技术与工业工程国际学术会议 ITIE 2010)

会议地点: 武汉

会议语种:英文

页码: 72-74

在线出版日期: 2010-06-06（万方平台首次上网日期，不代表论文的发表时间）