Analysis of the volatility characteristics of the different Chinese stock indexes

Author

Lu, Fangyuan ; Duan, Xiaona

Author_Institution

Sch. of Bus., Zhengzhou Univ., Zhengzhou, China

Volume

1

fYear

2009

fDate

5-6 Dec. 2009

Firstpage

41

Lastpage

44

Abstract

Take Shanghai Composite index, Shanghai A-stock index, Shanghai B-stock index, Shenzhen Component Index, Shenzhen A-stock index, Shenzhen B-stock index and SME Board Index as sample indexes, and then analyzed the differences among daily return, weekly return and monthly return. Discuss the impact of the important events that happened in our country´s stock market, to the China´s stock market. The conclusion is that Chinese stock market returns are different in different time span and different time intervals.

Keywords

statistical analysis; stock markets; SME board index; Shanghai A stock index; Shanghai B stock index; Shanghai composite index; Shenzhen A stock index; Shenzhen B stock index; Shenzhen component index; daily return; monthly return; volatility characteristics; weekly return; Data security; Finance; History; Investments; Statistical analysis; Statistical distributions; Statistics; Stock markets; System testing; Tail; daily return; monthly return; time intervals; weekly return;

fLanguage

English

Publisher

ieee

Conference_Titel

Test and Measurement, 2009. ICTM '09. International Conference on

Conference_Location

Hong Kong

Print_ISBN

978-1-4244-4699-5

Type

conf

DOI

10.1109/ICTM.2009.5412906

Filename

5412906