| Asymmetry of the Conditional Volatility of Chinese Stock Market |
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| 引用本文： | Xiaoli Wang Tiaojun Xiao Lin Zhu. Asymmetry of the Conditional Volatility of Chinese Stock Market[J]. 系统科学与信息学报, 2006, 4(3): 435-442 |
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| 作者姓名： | Xiaoli Wang Tiaojun Xiao Lin Zhu |
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| 作者单位： | [1]School of Management Science and Engineering, Nanjing University, Nanjing 210093, China [2]Caechangmen Street, Securities Sales Department, Shanghai Securities CO., LTD, Nanjing 210036, China |
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| 基金项目： | This research is supported in part by Natlonal Natural Science Foundation of China （70301014, 70571034）, and the Fund for ＂Study on the Evolution of Complex Economic System＂ at ＂Innovation Center of Economic Transition and Development of Nanjing University＂, State Education Ministry. |
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| 摘 要： | This paper mainly investigates the asymmetry of the conditional volatility of Chinese stock market by using the GARCH models. We collect the dally data of Shanghai composite index to analyze the volatility asymmetry. The empirical results show that there exists a distinct volatility asymmetry for return. In addition, we extend G JR model to the case with the information flow that is represented by the volume, and the results imply that the volume can＇t substitute the information flow to account for the conditional volatility asymmetry.
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| 关 键 词： | 不对称性 中国 股票市场 挥发性 |
| 收稿时间： | 2005-04-06 |
Asymmetry of the Conditional Volatility of Chinese Stock Market |
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| Xiaoli;Wang;Tiaojun;Xiao;Lin;Zhu. Asymmetry of the Conditional Volatility of Chinese Stock Market[J]. Journal of Sysytems Science and Information, 2006, 4(3): 435-442 |
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| Authors: | Xiaoli Wang Tiaojun Xiao Lin Zhu |
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| Abstract: | |
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| Keywords: | GARCH Volatility asymmetry Volume |
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