Notice of Retraction: Tree structured DCC_multivariate GARCH model and its application in volatility correlation analysis of Shanghai, Shenzhen and Hong Kong stock markets

2010 ◽  
Author(s):  
Shaofu Zhou ◽  
Xiuxia Zuo
Keyword(s):  
Hong Kong ◽  
Correlation Analysis ◽  
Stock Markets ◽  
Garch Model

POWER LAW AND STRETCHED EXPONENTIAL EFFECTS OF EXTREME EVENTS IN CHINESE STOCK MARKETS

2010 ◽  
Vol 09 (02) ◽  
pp. 203-217 ◽  
Author(s):  
XIAOJUN ZHAO ◽  
PENGJIAN SHANG ◽  
YULEI PANG
Keyword(s):  
Correlation Analysis ◽  
Power Law ◽  
Extreme Events ◽  
Stock Markets ◽  
Cross Correlation ◽  
Extreme Values ◽  
Cumulative Distribution ◽  
Stretched Exponential ◽  
Cross Correlation Analysis ◽  
Chinese Stock Markets

This paper reports the statistics of extreme values and positions of extreme events in Chinese stock markets. An extreme event is defined as the event exceeding a certain threshold of normalized logarithmic return. Extreme values follow a piecewise function or a power law distribution determined by the threshold due to a crossover. Extreme positions are studied by return intervals of extreme events, and it is found that return intervals yield a stretched exponential function. According to correlation analysis, extreme values and return intervals are weakly correlated and the correlation decreases with increasing threshold. No long-term cross-correlation exists by using the detrended cross-correlation analysis (DCCA) method. We successfully introduce a modification specific to the correlation and derive the joint cumulative distribution of extreme values and return intervals at 95% confidence level.

Are Shocks Asymmetric to Volatility of Chinese Stock Markets?

2004 ◽  
Vol 07 (03) ◽  
pp. 379-395 ◽  
Author(s):  
Wei-Chiao Huang ◽  
Yuanlei Zhu
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Garch Model ◽  
Leverage Effect ◽  
Arch Models ◽  
Before And After ◽  
Chinese Markets ◽  
Chinese Stock Markets ◽  
Better Than ◽  
A Share

This paper uses ARCH models to examine if there is a leverage effect and also to test if A- and B-share holdings have different risks in Chinese stock markets before and after B-share markets open to domestic investors in February 2001. The empirical results suggest that leverage effect was not present and shocks have symmetric impact on the volatility of Chinese B-share stock returns in both periods and A-share returns in Period I. Thus GARCH model would be a better model to fit the Chinese B-share stock returns than EGARCH or GJR-GARCH model. But EGARCH or GJR-GARCH model fits recent (Period II) A-share markets data better than GARCH model. Another finding of this paper is that holding A- or B-share bears different risk in returns in the two Chinese markets. Furthermore, news or shocks have a larger impact on volatility of B-share returns in Period I than in Period II.

Information Transmissions Among US, China and Hong Kong Stock Markets

2015 ◽  
Vol 10 (1) ◽  
pp. 27-46 ◽  
Author(s):  
Iris Yip ◽  
Andy Cheng ◽  
Raymond So
Keyword(s):  
Hong Kong ◽  
Stock Markets
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