The Industry Index Effect of Non-tradable Share Reform

DOI

10.2991/icemss-14.2014.54How to use a DOI?

Keywords

Non-tradable shares reform, EGARCH model, Volatility, Market efficiency.

Abstract

This paper discusses the impact of non-tradable share reform on the volatility and efficiency of market. The rich empirical studies based on EGARCH(1,1)-M model and the data of CSRC(China Securities Regulatory Commission) industry indexes (including 13 industry indexes) are done and the empirical results show that, the reform of non-tradable share increases the short term volatility and it reduces the long term volatility of market. Especially, for some industries, such as, Commercial trade industry, Manufacturing industry and Social services, the short term volatility raised by the reform of non-tradable share is the maximum, while is the minimum in the Financial services industry, Culture industry and Public utility. In addition, after the reform of non-tradable share, the impact of new information on the market is weakening for most non-public service industries, while the impact is strengthening and significant for Public utility, Mining industry, Delivery warehousing and Social services.

Copyright

© 2014, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jianxi Li
AU  - Le Tang
PY  - 2014/08
DA  - 2014/08
TI  - The Industry Index Effect of Non-tradable Share Reform
BT  - Proceedings of the 2nd International Conference on Education, Management and Social Science
PB  - Atlantis Press
SP  - 191
EP  - 194
SN  - 2352-5398
UR  - https://doi.org/10.2991/icemss-14.2014.54
DO  - 10.2991/icemss-14.2014.54
ID  - Li2014/08
ER  -