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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Wang Hua-cheng Yin Mei-qun |
| Copyright Year | 2006 |
| Description | Author affiliation: Bus. Sch., Renmin Univ. of China (Wang Hua-cheng) |
| Abstract | This paper surveys the fields of relation between the stock returns and random shocks happened to the stock markets. We study the volatility of the returns in both Chinese stock market and U.S. stock market. We use GJR-GARCH model to measure the conditional variance of the stock return compared with the linear GARCH model, where we restrict the negative unconditional variance parameter bigger than the positive one with a dummy variable. We find the support from U.S. stock market that there exists asymmetric effect of random shocks on the stock return that the negative information gives much stronger effect than the positive one. But we didn't find evidence to support this hypothesis from Chinese stock market |
| Sponsorship | Nat. Natural Sci. Found. of China Harbin Inst. of Technol. P.R. China |
| Starting Page | 1462 |
| Ending Page | 1467 |
| File Size | 7379235 |
| Page Count | 6 |
| File Format | |
| ISBN | 7560323553 |
| DOI | 10.1109/ICMSE.2006.314260 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2006-10-05 |
| Publisher Place | France |
| Access Restriction | Subscribed |
| Rights Holder | HARBIN INSTITUTE OF TECHNOLOGY |
| Subject Keyword | Electric shock Volatility Predictive models Cost accounting Asymmetric effect Technology management Conditional variance Investments Economic forecasting GARCH model Econometrics Autocorrelation Stock markets Testing |
| Content Type | Text |
| Resource Type | Article |
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