Scale-Heterogeneity of Stock Price Volatility: Evidence from Listed Companies of Real Estate Industry in China

DOI

10.2991/meess-18.2018.62How to use a DOI?

Keywords

Real Estate Company, scale heterogeneity, stock price volatility, HP wave filtering, GARCH model.

Abstract

To explore the features of stock price volatility in real estate industry under the scale heterogeneity, we use GARCH, TGARCH and EGARCH models to analyze the stock volatility of large- and small-scale real estate firms in China, and compare their results with the Shanghai Composite Index (SHCI). The empirical results show that all three returns for large- and small-scale real estate firms and SHCI have heteroscedasticity, volatility persistence and asymmetry. Besides, the return series of Shanghai Composite Index exerts a negative leverage effect, while the leverage effect for larger- and small-scale real estate companies shows positive.

Copyright

© 2018, 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  - Yu Zhang
PY  - 2018/08
DA  - 2018/08
TI  - Scale-Heterogeneity of Stock Price Volatility: Evidence from Listed Companies of Real Estate Industry in China
BT  - Proceedings of the 2018 International Conference on Management, Economics, Education and Social Sciences (MEESS 2018)
PB  - Atlantis Press
SP  - 332
EP  - 339
SN  - 2352-5398
UR  - https://doi.org/10.2991/meess-18.2018.62
DO  - 10.2991/meess-18.2018.62
ID  - Zhang2018/08
ER  -