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Modeling Volatility for the Chinese Equity Markets

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Author Info

  • Frank J. Fabozzi

    (Frederick Frank Adjunct Professor of Finance School of Management, Yale University)

  • Radu Tunaru

    (Senior Lecturer in Financial Economics, London Metropolitan University)

  • Tony Wu

    (Senior Analyst, Jutian Securities Company Ltd)

Abstract

A series of GARCH models are investigated for the volatility of the Chinese equity data from the Shenzhen and Shanghai markets. There has been empirical evidence of volatility clustering, contrary to findings in previous studies. Each market contains different GARCH models which fit well. The models are used to test for a spill-over effect between the two Chinese markets, an example of volatility transmission within one country and between two equity exchanges. Our testing suggests that there is no volatility transmission between the two markets.

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Bibliographic Info

Article provided by Society for AEF in its journal Annals of Economics and Finance.

Volume (Year): 5 (2004)
Issue (Month): 1 (May)
Pages: 79-92

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Handle: RePEc:cuf:journl:y:2004:v:5:i:1:p:79-92

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Related research

Keywords: Emerging markets; Volatility clustering; GARCH-M; IGARCH; TAGARCH; Spill-over effect;

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References

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Cited by:
  1. Wölfle, Marco, 2007. "Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries," ZEW Discussion Papers 07-067, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.

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