Based on GARCH Models Empirical Analysis about Spillover and Leverage Effect in Chinese Stock Market

摘要：

This paper examines the asymmetry about return volatility and interaction between the volatility of Chinese stock markets by using the GARCH models. The two effects, leverage and spillover, are shown to be different from the domestic literature to some extent, but almost the same as the overseas. For this, it seems to be clear that Chinese stock markets are gradually becoming rational.

关键词： return interaction asymmetrical volatility good news GARCH model

作者: YANG Mao YOU Zhanjie ZHANG Wenqiang

作者单位: Henan University of Technology, Zhengzhou, P.R.China, 450001

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 461-464

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）