Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/16246
Title: A Study of Chinese Stock Market: Empirical and Theoretical Explorations by Bayesian and GARCH Models
Authors: CHEN HENG
Keywords: Stock Market, IPOs, Cointegration, Bayes, GARCH
Issue Date: 11-Apr-2007
Source: CHEN HENG (2007-04-11). A Study of Chinese Stock Market: Empirical and Theoretical Explorations by Bayesian and GARCH Models. ScholarBank@NUS Repository.
Abstract: This study on Chinese stock market consists of three essays laid out as three chapters. The first essay tries to decipher the extreme behavior of Chinaa??s initial public offerings (IPOs).The second essay investigates the bilateral cointegration relations between Chinaa??s and US stock markets, and between Chinaa??s and Hong Kong stock markets. The third essay discusses a flaw of GARCH model, provides a remedy to improve the volatility fitting of GARCH-type model and applies the models to analyze China's and US stock markets. Our empirical results verify our conjecture that large part of IPO initial return and long run buy-hold return is due to institutional defects of Chinaa??s market. In the second chapter, we show that Chinaa??s stock market is fractionally cointegrated with the other two markets, and it appears that Chinaa??s stock market has stronger ties with its neighboring Hong Kong market than with worlda??s superpower, US market. Finally, the chapter 3 verifies that stochastic volatility models indeed provide a better fitting on conditional volatility process than GARCH type models.
URI: http://scholarbank.nus.edu.sg/handle/10635/16246
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