Leverage Effect In Chinese And American Index Returns

A lot of changes have happened in the Chinese economy in the last three decades. To study whether these changes affect the symmetric or asymmetric behavior of the volatility in Chinese Stock Market, in this paper we analyze, first, the main stylized facts in similar Chinese and American index return...

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Bibliographic Details
Published in:The international business & economics research journal 2012-12, Vol.11 (13), p.1513
Main Authors: Garcia-Centeno, Ma Carmen, Minguez, Roman
Format: Article
Language:English
Subjects:
Behavior
Economic reform
Hypotheses
International business
Kurtosis
Noise
Securities markets
Standard deviation
Stock exchanges
Time series
Volatility
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Summary:A lot of changes have happened in the Chinese economy in the last three decades. To study whether these changes affect the symmetric or asymmetric behavior of the volatility in Chinese Stock Market, in this paper we analyze, first, the main stylized facts in similar Chinese and American index returns and, second, we compare the leverage effect of volatility in three different periods for these indexes.The estimated results with GJR-GARCH and TA-ARSV models have shown that the behaviour of Chinese index returns was different depending on whether China was part of the Trade World Trade Organization (WTO).
ISSN:1535-0754
2157-9393
DOI:10.19030/iber.v11i13.7455