A Comparative Analysis of Volatility in Chinese A- and B- Shares Market in QFII

GARCH model is used in this paper to analyze volatility comparatively in Chinese A- and B- shares market in QFII empirically. The empirical case shows that vo latility of daily yield of Chinese A- share index is remarkably lower than vola tility of daily yield of Chinese B- share index in Shanghai Stock Exchange and Shenzhen Stock Exchange in QFII.