Modeling Volatility for the Chinese Equity Markets

Tunaru, Radu and Fabozzi, Frank J. and Wu, Tony (2004) Modeling Volatility for the Chinese Equity Markets. Annals of Economics and Finance, 5 . pp. 79-92. (The full text of this publication is not available from this repository)

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Abstract

A series of GARCH models are investigated for the volatility of the Chinese equity data from the Shenzhen and Shanghai markets. There has been empirical evidence of volatility clustering, contrary to findings in previous studies. Each market contains different GARCH models which fit well. The models are used to test for a spill-over effect between the two Chinese markets, an example of volatility transmission within one country and between two equity exchanges. Our testing suggests that there is no volatility transmission between the two markets.

Item Type: Article
Uncontrolled keywords: Emerging markets, Volatility clustering, GARCH-M, IGARCH, TAGARCH, Spill-over effect.
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Jennifer Knapp
Date Deposited: 19 Jul 2010 11:01
Last Modified: 10 Jun 2014 10:56
Resource URI: http://kar.kent.ac.uk/id/eprint/25108 (The current URI for this page, for reference purposes)
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