Investigation of the Return and Volatility Clustering Effects in China Stock Markets
This dissertation examines the return and volatility in Shanghai Stock Exchange (SSE); Shenzhen Stock Exchange (SZSE); Hong Kong Stock Exchange (HKEx) and Taiwan Stock Exchange (TWSE) in China for the period Jan 2002-Dec 2008 employing the GARCH models. GARCH-M; TGARCH-M and EGARCH-M model are estim...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
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| Online Access: | https://eprints.nottingham.ac.uk/24552/ |