Multiple Structural Change in Volatility of China Stock Markets

• Main Authors: Hsu,Yu-Chien, 徐于茜
• Other Authors: Po,Wan-Chen
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/85017366393535515889

碩士 === 正修科技大學 === 財務金融研究所 === 101 === In this paper, we apply Bai and Perron (1988, 2003) ordinary least squares model to test structural change in return and volatility in China stock markets which including A Stock Index、B Stock Index and Synthesis Index of Shanghai and Shenzhen markets, we also use Sup F、UD max、WD max、Sup F(L+1|L) and Likelihood ratio test to investigate these markets multiple structural change and break points in return and volatility. Moreover, we employ the GARCH model to capture the volatility persistent effect. The study find that Shanghai A Stock Index、Shanghai Synthesis Index、Shenzhen A Stock Index and Shenzhen Synthesis Index has three structural changes, Shanghai B Stock Index and Shenzhen B Stock Index has four structural changes. This result suggests that multiple structural change in China stock markets caused by important events.