Investigation of the Return and Volatility Clustering Effects in China Stock Markets

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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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Bibliographic Details
Main Author:	Mei, Lirong
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2009
Online Access:	https://eprints.nottingham.ac.uk/24552/

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