Title :
Research on characteristics of plates on Chinese stock market
Author :
Lin, Peng ; Yang, Jianhui
Author_Institution :
Sch. of Bus. Adm., South China Univ. of Technol., Guangzhou, China
Abstract :
Based on the GARCH model we study the characteristics of plate index on Chinese stock market in this paper. We analysis the characteristics of volatility in different industries and find indexes have different performance in the January effect test and the festival effect test. Finally, we use multivariate-GARCH model to study the dynamic relationship among different industries and the results show 12 industries have the time varying relationship with another while the wholesale and retail trade doesn´t have a close relationship with others.
Keywords :
autoregressive processes; stock markets; Chinese stock market; January effect test; multivariate-GARCH model; plate index; retail trade; time varying relationship; Communication industry; Correlation; Indexes; Manufacturing; Modeling; Stock markets; GARCH model family; industry index; relevance of dynamic conditions;
Conference_Titel :
Computational Intelligence and Security (CIS), 2011 Seventh International Conference on
Conference_Location :
Hainan
Print_ISBN :
978-1-4577-2008-6
DOI :
10.1109/CIS.2011.298
