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Modeling Volatility for the Chinese Equity Markets

Author

Listed:
  • 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.

Suggested Citation

  • Frank J. Fabozzi & Radu Tunaru & Tony Wu, 2004. "Modeling Volatility for the Chinese Equity Markets," Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 79-92, May.
  • Handle: RePEc:cuf:journl:y:2004:v:5:i:1:p:79-92
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    References listed on IDEAS

    as
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    12. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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    Citations

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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.
    2. Li, Johnny Siu-Hang & Ng, Andrew C.Y. & Chan, Wai-Sum, 2015. "Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 217-230.
    3. Jacobsen, Brian J. & Liu, Xiaochun, 2008. "China's segmented stock market: An application of the conditional international capital asset pricing model," Emerging Markets Review, Elsevier, vol. 9(3), pages 153-173, September.
    4. repec:taf:oaefxx:v:4:y:2016:i:1:p:1266788 is not listed on IDEAS
    5. Cano Berlanga, Sebastian & Giménez Gómez, José M. (José Manuel), 2016. "On Chinese stock markets: How have they evolved along time?," Working Papers 2072/267085, Universitat Rovira i Virgili, Department of Economics.
    6. Yavas, Burhan F. & Dedi, Lidija, 2016. "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, vol. 37(C), pages 583-596.

    More about this item

    Keywords

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

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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