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Title: The Empirical Research to the Return Rates of the Equity Index in Shenzhen Based on High-Frequency
Source: International Conference on Engineering and Business Management 2012(Part 4 Urban Management and Financial Investment) (pp 2863-2867)
Author(s): Lei Zhang, Research Institute for Fiscal Science, Beijing, China, 100142
Yue Jiang, Central University of Finance and Economics, Beijing, China, 100081
Abstract: We make use of ARCH group model studying the volatility of equity index return rates of Shenzhen stock market based on high-frequency data in this paper. We find that 1) the return rates of industry indexare relative with risk; 2) External information has small impact on the yields and volatility has the characteristic of long memory; 3) Asymmetric effects of news are found in stock markets; 4) The size of the equity has some influence on return rates.
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