2009•Unpublished venueRequires access

Analysis of the volatility characteristics of the different Chinese stock indexes

Fangyuan Lu, Xiaona Duan

Abstract

Take Shanghai Composite index, Shanghai A-stock index, Shanghai B-stock index, Shenzhen Component Index, Shenzhen A-stock index, Shenzhen B-stock index and SME Board Index as sample indexes, and then analyzed the differences among daily return, weekly return and monthly return. Discuss the impact of the important events that happened in our country's stock market, to the China's stock market. The conclusion is that Chinese stock market returns are different in different time span and different time intervals.

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Key concepts: Capitalization-weighted index, Composite index, Stock market index, Stock (firearms), Stock market, Volatility (finance), Index (typography), China