Impact of Interest Rate Adjustments on the Volatility of Overnight Return in Chinas Stock Market
In the paper,GARCH models are used to analyze the impact of interest rate adjustment on the volatility of overnight return of Shanghai Composite Index in Chinas stock market.In particular,we use GARCH model based t distribution,TGARCH,EGARCH and GARCH-M models based on normal distribution to analyze the impact of the interest rate adjustment from Sept.16,2008 on volatility of overnight return of the Shanghai Composite Index in Chinas stock market based on three months before and six months after that day.Using all these models,we reached the conclusions that the reduction of interest rates increases the volatility of overnight return of the Shanghai Composite Index.As the overnight return reflects the impact of the government policy to the volatility of stock market,the conclusion may provide some suggestions to policy making in China.
overnight return GARCH models volatility interest rate adjustment
Jiping YANG Zhen LIU Xiaoxuan CHEN
School of Economics and Management Beihang University,Beijing,China State Grid Electric Power Research Institute Nanjing,China
国际会议
青岛
英文
77-82
2012-07-20（万方平台首次上网日期，不代表论文的发表时间）