An Empirical Study on the Existence of Bubble in Chinese Stock Market:Based on TGARCH Model

摘要：

This paper collected the closing price index of Shanghai Stock Exchange from Jan.3,2005 to Mar.29,2010 as the initial data for the study,and adopted TGARCH model to analyze the volatility of financial risk within China Mainland stock market through these five years around the international financial crisis,and discussed the existence of bubble in Chinese Mainland stock market.

关键词： Chinese stock market bubble TGARCH model,volatility

作者: Lin Nan Lu Hong Qin Zheng

作者单位: Shanghai University of Finance and Economy School of International Business Management Shanghai,Chin Shanghai University of Finance and Economy School of Information Management and F.ngineering Shangha

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 87-90

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）