Title :
An empirical study on the existence of bubble in Chinese stock market: Based on TGARCH model
Author :
Nan, Lin ; Hong, Lu ; Zheng, Qin
Author_Institution :
Sch. of Int. Bus. Manage., Shanghai Univ. of Finance & Econ., Shanghai, China
Abstract :
This paper collected the closing price index of Shanghai Stock Exchange from Jan. 3, 2005 to Mar. 29, 2010 as the initial data for the study, and adopted TGARCH model to analyze the volatility of financial risk within China Mainland stock market through these five years around the international financial crisis, and discussed the existence of bubble in Chinese Mainland stock market.
Keywords :
economic indicators; risk management; stock markets; Chinese stock market; Shanghai stock exchange; TGARCH model; bubble existence; financial risk; international financial crisis; Biological system modeling; Data models; Fluctuations; Indexes; Mathematical model; Stock markets; Chinese stock market bubble; TGARCH model; volatility;
Conference_Titel :
Information and Financial Engineering (ICIFE), 2010 2nd IEEE International Conference on
Conference_Location :
Chongqing
Print_ISBN :
978-1-4244-6927-7
DOI :
10.1109/ICIFE.2010.5609256
