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

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3 Author(s)
Lin Nan ; Sch. of Int. Bus. Manage., Shanghai Univ. of Finance & Econ., Shanghai, China ; Lu Hong ; Qin Zheng

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.

Published in:

Information and Financial Engineering (ICIFE), 2010 2nd IEEE International Conference on

Date of Conference:

17-19 Sept. 2010

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