An empirical study on the existence of bubble in Chinese stock market: Based on TGARCH model

This paper collected the closing price index of Shanghai Stock Exchange from Jan. 3, 2005 to Mar. 29, 2010 as the initial data for the study, and adopted TGARCH model to analyze the volatility of financial risk within China Mainland stock market through these five years around the international financial crisis, and discussed the existence of bubble in Chinese Mainland stock market.