Title :
The Impact of Reduced Holding Behavior Information of the Restricted Stock on Market Volatility Based on the Shenzhen Stock Market
Author :
Feng, Ling ; Xie, Shanxia
Author_Institution :
Dept. of finance, Fuzhou Univ., Fuzhou, China
Abstract :
In order to study the influence of reduced holding behavior information of the restricted stocks to the Shenzhen stock market, a lshock-GARCH model is used in this paper. We construct a new liquidity shock measure to represent the market influence brought by reduced holding behavior information of the restricted stock and then put it into GARCH model to do the empirical study. The results show that on one hand the influence brought by the liquidity shock of reduced holding behavior information is very large. On the other hand, although the overall volatility in the bear market period is higher than the bull market period, the volatility brought by the liquidity shock of reduced holding behavior information in the Shenzhen stock market is more obvious in the bear market period.
Keywords :
stock markets; Shenzhen stock market; bear market period; bull market period; liquidity shock measure; lshock-GARCH model; market volatility; reduced holding behavior information; restricted stocks; Costs; Electric shock; Electronic mail; Equations; Finance; Forward contracts; Information analysis; Psychology; Stochastic processes; Stock markets; GARCH model; Restricted Stock; liquidity shock; volatility;
Conference_Titel :
Business Intelligence and Financial Engineering, 2009. BIFE '09. International Conference on
Conference_Location :
Beijing
Print_ISBN :
978-0-7695-3705-4
DOI :
10.1109/BIFE.2009.202
