Empirical studies of the effect of leverage industry characteristics
Part of : WSEAS transactions on business and economics ; Vol.10, No.4, 2013, pages 306-315
Issue:
Pages:
306-315
Author:
Abstract:
The policy implication of itself is the noise of the stock market trading behavior. Good policy to price fluctuations than bad policy is called leverage effect, while the industry characteristics interval by the leverage effect. Based on the CSI 300 Sector Index, ARMA-GARCH model analysis of the CSI representative industries index volatility, the empirical results indicate that the GARCH (1,1) model can explain the fluctuations in the industry there are persistent, gathering; through TARCH (1,1) and EGARCH (1,1) models examined the impact of fluctuations in the various sectors of the leverage effect and information asymmetry, results show that the reverse impact than the same amount of positive impact to be various industries generate greater volatility.
Subject (LC):
Keywords:
CSI 300 sector index, volatility, leverage effect
Notes:
Περιέχει διαγράμματα, πίνακες και βιβλιογραφία
References (1):
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