The Impact of Reduced Holding Behavior Information of the Restricted Stock on Market Volatility-Based on the Shenzhen Stock Market

被引：0

作者：

Feng, Ling ^{[1
]}

Xie, Shanxia ^{[1
]}

机构：

[1] Fuzhou Univ, Dept Finance, Fuzhou 350002, Fujian Province, Peoples R China

来源：

2009 INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, PROCEEDINGS | 2009年

关键词：

Restricted Stock; GARCH model; liquidity shock; volatility;

D O I：

10.1109/BIFE.2009.202

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In order to study the influence of reduced holding behavior information of the restricted stocks to the Shenzhen stock market, a Ishock-GARCH model is used in this paper. We construct a new liquidity shock measure to represent the market influence brought by reduced holding behavior information of the restricted stock and then put it into GARCH model to do the empirical study. The results show that on one hand the influence brought by the liquidity shock of reduced holding behavior information is very large. On the other hand, although the overall volatility in the bear market period is higher than the bull market period, the volatility brought by the liquidity shock of reduced holding behavior information in the Shenzhen stock market is more obvious in the bear market period.

引用

页码：826 / 830

页数：5