Research on Features of Return in Chinese Stock Market Based on GARCH Model

DOI

10.2991/mdhss-13.2013.3How to use a DOI?

Keywords

GARCH family, volatility clustering, leverage effect, Chinese stock market

Abstract

The main purpose of the research is to test some features in Chinese market with GARCH family. GARCH can capture volatility clustering in stock market. GARCH-M is applied here to verify that stocks with high risk tend to pay high return. TGARCH and EGARCH illustrate the existence of asymmetries. These features might be of help for investors of Chinese stock market.

Copyright

© 2013, 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  - Xinyi Dang
AU  - Qiang Zhang
PY  - 2013/12
DA  - 2013/12
TI  - Research on Features of Return in Chinese Stock Market Based on GARCH Model
BT  - Proceedings of the 2013 International Conference on the Modern Development of Humanities and Social Science
PB  - Atlantis Press
SP  - 13
EP  - 15
SN  - 1951-6851
UR  - https://doi.org/10.2991/mdhss-13.2013.3
DO  - 10.2991/mdhss-13.2013.3
ID  - Dang2013/12
ER  -