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GARCH And Copula Method Applying In The Market Comparing Between The SSM And HKM With Connect Program

Posted on:2016-03-06Degree:MasterType:Thesis
Country:ChinaCandidate:X F SongFull Text:PDF
GTID:2309330461955272Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
Shanghai-Hong Kong Stock Connect program, a connectivity mechanism between Shanghai Stock and Hong Kong Stock, which allowing mainland investors trade shares of selected companies listed in HKSE, and permitting HK investors to trade designated (eligible) stocks trading in SSE over local securities firms or brokers. Launching the program to a certain extent, is to narrow the gap between the valuation of Shanghai stock market valuation and the international valuations, by operating corresponding Copula function that deduced from Monte Carlo methods on the log returns rate of select financial or real estate index we calculating. Basing on two time points at which Premier Li Keqiang announced the program will be carried out and the mechanism beginning, integrating the previously statistical character of the data, the results obtained that the mechanism did make a difference on the dependence between financial and estate index in both SSE and HKSE. Volatility modeling attracts more and more attention around the world as being cornerstone of financial asset pricing. Considering of time varying and clustering of volatility index, modeling the volatility from April 11 2015 to February 27 2015 and with GARCH model which is popular in last two decades as it can capture the long memory of volatility is a fit choice. The tables of results shows the model is efficient that whether leverage effect works.For government, individual investors or investment institutions, probing into the program is instructive. More effort should be made as the cross-trade market between SSE and HHSE being semi-effective for more restriction such as the cap of the trade amount or kind. Basing on the results, we can absorb some guidance for constructing free market and investors in both sides.
Keywords/Search Tags:Shanghai-Hong Kong Stock Connect Program, GARCH Model Copula Function, Monte Carlo Simulation, Volatility Analysis
PDF Full Text Request
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