NDLI: PD-EGARCH model based experimental research of calendar effect of securities market of China

Content Provider	IEEE Xplore Digital Library
Author	Shuangxi Pei Shengwen Zhang Yiyi Huang
Copyright Year	2008
Description	Author affiliation: Manage. Sci. & Eng., Dalian Maritime Univ., Dalian (Shuangxi Pei; Shengwen Zhang)
Abstract	This paper discusses the problem of calendar effect in the securities market of China, which is an abnormality test and data mining paradigm of financial time series from different dimensionlity. On the basis of retrospect of research on calendar effects from domestic and overseas scholars, panel data-exponential generalized autoregressive conditional heteroskedastic (PD-EGARCH) model is put out; then analysis of elementary statistic results of two typical indices (shanghai stock index and shenzhen component index) are offered. The primary focus of this paper will be selective descriptions of PD-EGARCH model based test of the primary statistic result of various performances of calendar effects. Finally, the testing result shows, behaviors of calendar effects in Chinese stock market is obvious but different from former research results, which shows new characteristics with arbitrage opportunity and leverage, and which is difficult to make clear by traditional explanation.
Starting Page	509
Ending Page	514
File Size	538346
Page Count	6
File Format	PDF
ISBN	9781424425020
DOI	10.1109/ICAL.2008.4636204
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2008-09-01
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	calendar effect Time series analysis Calendars panel data-exponential generalized autoregressive conditional heteroskedastic (PD-EGARCH) model Data models Indexes Mathematical model Data mining Equations arbitrage opportunity financial time series
Content Type	Text
Resource Type	Article

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