JOURNAL OF BEIJING UNIVERSITY OF AERONAUTICS AND A ›› 2008, Vol. 21 ›› Issue (2): 5-7.

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An Empirical Study of Asymmetric Volatility of Chinese Stock Market Based on Different Liquidity

WANG Chun-feng, GONG Lan-jie, FANG Zhen-ming   

  1. Financial Engineering Research Center,Tianjin University, Tianjin 30 0072, China
  • Received:2006-11-08 Online:2008-06-25 Published:2010-05-13

Abstract:

Asymmetric volatility of return of financial asset has been studied by many scho lars by using GACH model, but less from the view of high frequent data and liqui dity difference. This paper attempts to analyse asymmetric volatility of Chinese stock market based on different liquidity using 5-minute data. Empirical resul ts show that good news can increase the volatility and bad news can reduce the v olatility for stocks with good liquidity, while good news can reduce the volatil ity and bad news can increase the volatility for stocks with bad liquidity.

Key words: Asymmetric Volatility, leverage effect, liquidity, high-frequency data

CLC Number: