Title :
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
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;
Conference_Titel :
Test and Measurement, 2009. ICTM '09. International Conference on
Conference_Location :
Hong Kong
Print_ISBN :
978-1-4244-4699-5
DOI :
10.1109/ICTM.2009.5412906
