STUDIES ON THE CHARACTERISTICS OF VOLATILITY IN CHINA’S STOCK MARKET
This paper mainly focuses on the effects of China’s entry into WTO on the volatilities in China’s stock market. We divide the time series under study into two subperiods — before and after the date of China’s entry into WTO. Then we employ the AR-EGARCH-M model to test the resulting changes of volat...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
People & Global Business Association (P&GBA)
2007-09-01
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| Series: | Global Business and Finance Review |
| Subjects: | |
| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150624102450-ZPU2T.pdf |