Comparative Research of Shanghai and Shenzhen Stock Market Based on Stochastic Volatility Model
Yang Ke-lei · Journal of Tianjin University Science and Technology · 2004
Financial market risk and volatility is a main issue for modern finance research. The characteristics of financial risk is time varying and volatility is persistent. The paper introduces stochastic volatility (SV) model and its estimation method. In order to help investors and government understand risk characteristics of Shanghai and Shenzhen Stock Markets, the paper comparatively studies them with SV model, and finds that Shanghai Market is of higher risk , but less persistency. This paper analyzes the causes of these and offers some proposals for investors, government and researchers.