An Empirical Analysis of the Volatility in the Open-End Fund Market: Evidence from China

被引：1

作者：

Xie, Shiqing ^{[1
]}

Huang, Xichen ^{[2
]}

机构：

[1] Peking Univ, Sch Econ, Beijing 100871, Peoples R China

[2] Univ Illinois, Urbana, IL 61801 USA

来源：

EMERGING MARKETS FINANCE AND TRADE | 2013年 / 49卷

关键词：

leverage effect; open-end fund; persistence; risk premium; volatility; CONDITIONAL HETEROSKEDASTICITY;

D O I：

10.2753/REE1540-496X4905S411

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper applies a set of GARCH models to investigate the three characteristics, including time persistence, leverage effect, and risk premium, of the volatilities of the four China Securities Index (CSI) fund indices. This study made the following four findings: (1) a strong ARCH effect exists in the returns; (2) time persistence is significant in all the CSI fund indices, namely, "stock index," "hybrid index," and "bond index" in descending order of significance; (3) the leverage effect is not statistically significant, yet there may be a positive leverage effect on the bond funds; (4) a risk premium effect exists in the open-end fund market, especially in the bond fund market.

引用

页码：150 / 162

页数：13

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