Stock Exchanges Comparison between Mainland China and H.K. Based on the SVL Model

• 作者: Jiahui Lin
• 来源期刊: 统计学期刊(英文)
• 学科: 经济
• 关键词: VOLATILITY Time Series MODEL SV MODEL Leverage GARCH MCMC ESTIMATION
• 年，卷（期）: 2017,（3）
• 页码范围: 383-393
• 页数: 11页
• 分类号: F83

摘要

In this paper, we consider the leverage effect on the CSI 300 Index yield and Hong Kong Hang Seng Index yield. It is modeled by the SV model with leverage. In this model, we compare the mainland and the Hong Kong stock market with stock market long-term effect, the degree on fluctuation reply and leverage effect so on. The analysis results show that the leverage stochastic volatility model can well fitting rate of return on the CSI300 index and the Hang Seng index in Hong Kong;The Shanghai and Shenzhen stock market volatility and leverage effect obviously stronger than the Hong Kong stock market.