ScholarLens Back to search
2006•Journal of Beijing Institute of TechnologyRequires access

A Research on Time-varying Parameters of SV Model and the Policy Effects of Chinese Stock Market

LI Han-hong

Open publisher page 0 citations

Abstract

Policy effect is a universal phenomenon that is more prevalent in China.A time varying feature of the parameters of ASARMAV(1,0) is investigated using EMM.As a result,this feature reflects the dynamics and policy effects of the Chinese stock market.It can also explain the leverage effect in the stock market.The empirical results show that the Chinese stock market is becoming more mature,the policy effects are weakened and the leverage effect is gradually more visible.The conclusion is consistent with the history and the reality of the Chinese stock market.

About this research paper

What this paper is about

Policy effect is a universal phenomenon that is more prevalent in China.A time varying feature of the parameters of ASARMAV(1,0) is investigated using EMM.As a result,this feature reflects the dynamics and policy effects of the Chinese stock market.It can also explain the leverage effect in the stock market.The empirical results show that the Chinese stock market is becoming more mature,the policy effects are weakened and the leverage effect is gradually more visible.The conclusion is consistent with the history and the reality of the Chinese stock market.

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Policy effect is a universal phenomenon that is more prevalent in China.A time varying feature of the parameters of ASARMAV(1,0) is investigated using EMM.As a result,this feature reflects the dynamics and policy effects of the Chinese stock market.It can also explain the leverage effect in the stock market.The empirical results show that the Chinese stock market is becoming more mature,the policy effects are weakened and the leverage effect is gradually more visible.The conclusion is consistent with the history and the reality of the Chinese stock market.

Key concepts: Stock market, China, Leverage (statistics), Leverage effect, Stock (firearms), Chinese market, Phenomenon, Stock market bubble

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
A Research on Time-varying Parameters of SV Model and the Policy Effects of Chinese Stock Market — Research Paper | ScholarLens