Research on Volatility of Open-ended Funds in Chinese Financial Market

摘要：

In this paper,we construct an integrated index for open-ended funds to describe the total return of Chinese fund market. By using multivariate GARCH model,we study the volatility relationship between the stock open-ended fund and bond open-ended fund of China. The results show that there is the volatility persistence between the index of stock open-ended funds and the integrated stock index in Chinese stock market,but no persistence between the stock open-ended funds and bond open-ended funds. This truth also indicates that present stochastic shocks in stock market have a long range effect to the future volatilities in stock open-ended fund index,whereas the effect to volatilities between the stock openended funds and the bond open-ended funds will go out quickly. We also present that there is no copersistence between the stock market and openended fund market in China.

关键词： Open-ended Fund Chinese stock markets Volatility persistence Multivariate GARCH model

作者: Handong Li Lei Li Jing Jia

作者单位: School of Management,Beijing Normal University,Beijing 100875,P.R.China

会议类型: 国际会议

会议名称: The Third International Conference on Business Intelligence and Financial Engineering(第三届商务智能与金融工程国际会议 BIFE 2010)

会议地点: 香港

会议语种:英文

页码: 319-322

在线出版日期: 2010-08-17（万方平台首次上网日期，不代表论文的发表时间）