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Empirical Study on Stock Return Volatility in China's Stock Market

Received: 15 July 2015     Accepted: 4 August 2015     Published: 12 August 2015
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Abstract

Wave of financial globalization and financial innovation has brought great changes of the international financial market, the traditional measuring method is not well adapt to these new changes, this requires the presence of the new analysis method. This article will link function to copulas connect theory is introduced into the financial analysis. In this paper, the author makes an empirical analysis of Shenzhen composite index using GRCH family model, and the results show that Chinese stock yield has significant peak fat-tailed features, and have volatility clustering

Published in Journal of Investment and Management (Volume 4, Issue 5)
DOI 10.11648/j.jim.20150405.17
Page(s) 186-190
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2015. Published by Science Publishing Group

Keywords

GRCH Model, the Comprehensive Index, Volatility

References
[1] Chkili Walid,Aloui Chaker,Omar Masood,John Fry. Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach[J]. Emerging Markets Review. 2011 (3)
[2] Vincent Bodart,Bertrand Candelon. Evidence of interdependence and contagion using a frequency domain framework[J]. Emerging Markets Review. 2009 (2)
[3] António Rua,Luís C. Nunes. International comovement of stock market returns: A wavelet analysis[J]. Journal of Empirical Finance. 2009 (4)
[4] Hüseyin Tastan. Estimating time-varying conditional correlations between stock and foreign exchange markets[J]. Physica A: Statistical Mechanics and its Applications. 2005 (2)
[5] Genst.C and MacKay R.L. Copules archimédiennes et familes de lois bidimensionnelles dont lesmarges sont données [J], The Canadian Journal of Statistics, 1986, 14:145-159
[6] Joe H. Multivariate Models and Dependence Concepts [M], London: Champan & Hall, 1997
[7] Nelsen R, An Introduction to Copulas [M], New York: Springers, 1999
[8] Frees.E.W and Valdez.E.A. Understanding Relationships using Copulas [J], North American actuarial journal, 1998, 2:1-25.
[9] Jing-jing jiang. Based on the GARCH - EVT - VaR model empirical research on the carbon market risk measurement [J]. Journal of Beijing university (natural science edition), 2015,03
[10] Gao wei. Based on the family of GARCH model Shibor financial market volatility statistical research in China [J]. Journal of statistics and decision, 2015, 10:30-33.
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  • APA Style

    Diao Yanhua, Guo Siliang. (2015). Empirical Study on Stock Return Volatility in China's Stock Market. Journal of Investment and Management, 4(5), 186-190. https://doi.org/10.11648/j.jim.20150405.17

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    ACS Style

    Diao Yanhua; Guo Siliang. Empirical Study on Stock Return Volatility in China's Stock Market. J. Invest. Manag. 2015, 4(5), 186-190. doi: 10.11648/j.jim.20150405.17

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    AMA Style

    Diao Yanhua, Guo Siliang. Empirical Study on Stock Return Volatility in China's Stock Market. J Invest Manag. 2015;4(5):186-190. doi: 10.11648/j.jim.20150405.17

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  • @article{10.11648/j.jim.20150405.17,
      author = {Diao Yanhua and Guo Siliang},
      title = {Empirical Study on Stock Return Volatility in China's Stock Market},
      journal = {Journal of Investment and Management},
      volume = {4},
      number = {5},
      pages = {186-190},
      doi = {10.11648/j.jim.20150405.17},
      url = {https://doi.org/10.11648/j.jim.20150405.17},
      eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jim.20150405.17},
      abstract = {Wave of financial globalization and financial innovation has brought great changes of the international financial market, the traditional measuring method is not well adapt to these new changes, this requires the presence of the new analysis method. This article will link function to copulas connect theory is introduced into the financial analysis. In this paper, the author makes an empirical analysis of Shenzhen composite index using GRCH family model, and the results show that Chinese stock yield has significant peak fat-tailed features, and have volatility clustering},
     year = {2015}
    }
    

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  • TY  - JOUR
    T1  - Empirical Study on Stock Return Volatility in China's Stock Market
    AU  - Diao Yanhua
    AU  - Guo Siliang
    Y1  - 2015/08/12
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    N1  - https://doi.org/10.11648/j.jim.20150405.17
    DO  - 10.11648/j.jim.20150405.17
    T2  - Journal of Investment and Management
    JF  - Journal of Investment and Management
    JO  - Journal of Investment and Management
    SP  - 186
    EP  - 190
    PB  - Science Publishing Group
    SN  - 2328-7721
    UR  - https://doi.org/10.11648/j.jim.20150405.17
    AB  - Wave of financial globalization and financial innovation has brought great changes of the international financial market, the traditional measuring method is not well adapt to these new changes, this requires the presence of the new analysis method. This article will link function to copulas connect theory is introduced into the financial analysis. In this paper, the author makes an empirical analysis of Shenzhen composite index using GRCH family model, and the results show that Chinese stock yield has significant peak fat-tailed features, and have volatility clustering
    VL  - 4
    IS  - 5
    ER  - 

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Author Information
  • Department of Economic Management, Shandong Xiehe University, Ji'nan, China

  • Department of Economics, Qilu Normal University, Ji'nan, China

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