The Empirical of Volatility Clustering by Stop Profit Point and Stop Loss Point

摘要：

　　In this paper, we establish a theoretical model based on the investment strategy of stop profit point and stop loss point.The model is intended to analyze the phenomenon of volatility clustering of stock price.Volatility clustering refers to the stock price volatility over time will change a lot, followed by large fluctuations with large fluctuations, followed by small fluctuations with small fluctuations.Theorists are still exploring the causes of volatility clustering.This article attempts to explain volatility clustering from the perspective of stop profit point and stop loss point.In this paper, by theoretical modeling and providing the investment strategy,we simulate the dynamics of stock prices, then examine with the ACF and GARCH model.We conclude that the price will have a strong volatility clustering in the investment strategy of stop profit point and stop loss point.In the end of this article, we analyze the underlying causes of volatility clustering and the significance to the securities market.

关键词： Stop profit point Stop loss point Volatility clustering Investment strategy

作者: Li Kun

作者单位: Department of Finance, School of Economics, Shanghai University Graduate, Shanghai 200444

会议类型: 国际会议

会议名称: The 5th Conference on Chinas Economic Operation Risk Management(2011`Shanghai)(第五届中国立信风险管理论坛)

会议地点: 上海

会议语种:英文

页码: 102-108

在线出版日期: 2011-11-04（万方平台首次上网日期，不代表论文的发表时间）