The Volatility of Shanghai and Shenzhen B Shares Based on GARCH Model

• Main Authors: chang yi shan, 張亦姍
• Other Authors: Shih Neng Jen
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/58922555651839492638

碩士 === 嶺東科技大學 === 財務金融研究所 === 94 === This paper studies the volatility of Shenzhen and Shanghai B share stock markets in the mainland. We consider different data space for example the china government open up the local people to invest B share stock market in 2003. The time series plots show there is a structural break point in the day. We include three sample spaces. The first sample space is from 1996 to 2005 (full sample). The second, the sample space is from 1996 to 2003 (pre-sample). The third, the sample space is from 2003 to 2005 (post-sample). We use GARCH model which was built by Bollerslev (1986) to examine the volatility in different sample space in order to check if the local people invest the B share stock market that the markets have small volatility. We find the Shanghai B share stock market has the higher volatility than the Shenzhen B share stock market in three sample spaces. We also find open up local people invest the B share stock markets can reduce the volatility. It seem means local people investment can reduce the risk in B share stock markets in mainland.