Title :
The Volatility of Stock Return in GEM Broad
Author :
Fang, Fang ; Chen, Rongda
Author_Institution :
Sch. of Finance, Zhejiang Univ. of Finance & Econ., Hangzhou, China
Abstract :
The GEM [Growth Enterprises Market] board has been run for two years. It has been playing an very important role in the capital market of our country. This paper we use the class of ARCH model for analysis of the stock return in GEM board. We find that it has strong volatility and the volatility lasts a long time. In the end, we provide some recommendations on GEM future development.
Keywords :
stock markets; ARCH model; GEM broad; GEM future development; capital market; growth enterprises market board; stock return volatility; Analytical models; Data models; Educational institutions; Equations; Gaussian distribution; Mathematical model; Stock markets; GEM board Volatility of Stock Return ARCH GARCH;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2012 Fifth International Conference on
Conference_Location :
Lanzhou
Print_ISBN :
978-1-4673-2092-4
DOI :
10.1109/BIFE.2012.65
