Proceedings of the 2018 International Conference on Management, Economics, Education and Social Sciences (MEESS 2018)

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

Authors
Yu Zhang
Corresponding Author
Yu Zhang
Available Online August 2018.
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/).

Download article (PDF)

Volume Title
Proceedings of the 2018 International Conference on Management, Economics, Education and Social Sciences (MEESS 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
August 2018
ISBN
978-94-6252-550-4
ISSN
2352-5398
DOI
10.2991/meess-18.2018.62How to use a DOI?
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/).

Cite this article

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  -