Analysis and Comparison of ARCH Effects for Shanghai Composite Index and NYSE Composite Index


  •  Xinghao Liao    
  •  Guangdong Qi    

Abstract

In this article, we used ARCH class model to analyze and compare the income fluctuations of Shanghai Stock Market and NYSE, and obtained the characters of fluctuation for two markets and the models which fitted to describe them. At the same time, we also analyzed the fluctuation overflow effect of two markets, validated the character that Chinese stock market was not relatively mature and possessed low international market integration degree, and put forward relative policy advances.


This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1833-3850
  • ISSN(Online): 1833-8119
  • Started: 2006
  • Frequency: bimonthly

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