| The dynamic characteristics of stock market have been being an important topicin the financial sector. This paper applies a STFIGARCH model to study thedynamic characteristics in global stock market from the period of2003through2012,including long memory, asymmetry and nonlinear dynamics. Meanwhile, we willcompare the differences between countries and markets. The empirical results are asfollows. First of all, in the global main board, long memory, asymmetry andnonlinear dynamics of Britain are significant, indicating that the dynamiccharacteristics of this board are distinctive. Next, in the global second board, thehighest degree of long memory is corresponding to Britain and the lowest is China.At the same time, asymmetric and nonlinear characteristics are significant in thesecond board of Britain and China. Last, this paper analyzes the differences betweenthe main board and the second board in each country. The results show thatdifferences in China are the greatest, while differences in America are the smallest.By empirical research and comparative analysis of the results, we also point outseveral beneficial inspiration. First, in stock market of England and GEM of China,there is a high degree of long memory, indicating low efficiency of these markets. So,it’s necessary to guide reasonable investment. Second, high risk often exists in thestock market with high degree of nonlinearity and investors should be careful withthem. Furthermore, the differences of dynamics characteristics between main boardand GEM of China are the largest, which indicates the stock market of China is not perfect. It is imperative to improve China’s stock market. |
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