An Empirical Study on the Existence of Bubble in Chinese Stock Market: Based on TGARCH Model

被引：14

作者：

Nan, Lin ^{[1
]}

Hong, Lu ^{[2
]}

Zheng, Qin ^{[2
]}

机构：

[1] Shanghai Univ Finance & Econ, Sch Int Business Management, Shanghai, Peoples R China

[2] Shanghai Univ Finance & Econ, Sch Informat Management & Engn, Shanghai, Peoples R China

来源：

2010 2ND IEEE INTERNATIONAL CONFERENCE ON INFORMATION AND FINANCIAL ENGINEERING (ICIFE) | 2010年

基金：

中国国家自然科学基金;

关键词：

Chinese stock market bubble; TGARCH model; volatility; PRICES;

D O I：

10.1109/ICIFE.2010.5609256

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper collected the closing price index of Shanghai Stock Exchange from Jan. 3, 2005 to Mar. 29, 2010 as the initial data for the study, and adopted TGARCH model to analyze the volatility of financial risk within China Mainland stock market through these five years around the international financial crisis, and discussed the existence of bubble in Chinese Mainland stock market.

引用

页码：87 / 90

页数：4

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