The Regime Characteristics of Chinese Stock Market Industry Sectors

被引：2
|
作者：
Shen, Jiangjian [1 ,2 ,3 ]
Long, Wen [1 ,2 ,3 ]
机构：
[1] Chinese Acad Sci, Res Ctr Ficititious Econ & Data Sci, Beijing 100190, Peoples R China
[2] UCAS, Sch Econ & Management, Beijing 100190, Peoples R China
[3] Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing 100190, Peoples R China
来源：
PROMOTING BUSINESS ANALYTICS AND QUANTITATIVE MANAGEMENT OF TECHNOLOGY: 4TH INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT (ITQM 2016) | 2016年 / 91卷
关键词：
Industry sectors; High volatility regime; Low volatility regime; Correlation; CONDITIONAL HETEROSKEDASTICITY;
D O I：
10.1016/j.procs.2016.07.131
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article uses Markov regime Switching ARCH (SWARCH) model to research the volatility of Chinese stock market industry sectors, finding that all industry sectors were able to be significantly divided into two regimes, the high volatility regime and the low volatility regime. For different regime transfer, we can classify all sectors into three categories. Further the article analyzes the regime characteristics of industry sectors. The results show that the correlation coefficient in high volatility regime is higher than that in low volatility regime. (C) 2016 Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license.
引用
收藏
页码：512 / 518
页数：7
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