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2013•Unpublished venueRequires access

Impact of Information、the Volatility of Stock Index and Stock Market Association

MA Li-ya

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Abstract

Using the method of GARCH,this article analyzed the association characteristics of Shanghai and Shenzhen stock market from the stock index fluctuation characteristics and information impact response.Research thought that,on the whole,There are clusters of Shanghai and Shenzhen stock markets,on the positive and impact and response were negative was small state,but Shenzhen stock market was more sensitive and rational than the Shanghai stock market.

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What this paper is about

Using the method of GARCH,this article analyzed the association characteristics of Shanghai and Shenzhen stock market from the stock index fluctuation characteristics and information impact response.Research thought that,on the whole,There are clusters of Shanghai and Shenzhen stock markets,on the positive and impact and response were negative was small state,but Shenzhen stock market was more sensitive and rational than the Shanghai stock market.

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Available abstract

Using the method of GARCH,this article analyzed the association characteristics of Shanghai and Shenzhen stock market from the stock index fluctuation characteristics and information impact response.Research thought that,on the whole,There are clusters of Shanghai and Shenzhen stock markets,on the positive and impact and response were negative was small state,but Shenzhen stock market was more sensitive and rational than the Shanghai stock market.

Key concepts: Stock market, Stock market bubble, Stock market index, Stock (firearms), Volatility (finance), Financial economics, Autoregressive conditional heteroskedasticity, Econometrics

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