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2009 International Conference on Business Intelligence and Financial Engineering
The Impact of Reduced Holding Behavior Information of the Restricted Stock on Market Volatility Based on the Shenzhen Stock Market
Beijing, China
July 24-July 26
ISBN: 978-0-7695-3705-4
ASCII Text
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Ling Feng, Shanxia Xie, "The Impact of Reduced Holding Behavior Information of the Restricted Stock on Market Volatility Based on the Shenzhen Stock Market," Business Intelligence and Financial Engineering, International Conference on, pp. 826-830, 2009 International Conference on Business Intelligence and Financial Engineering, 2009.
 
 
BibTex
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@article{ 10.1109/BIFE.2009.202,
author = {Ling Feng and Shanxia Xie},
title = {The Impact of Reduced Holding Behavior Information of the Restricted Stock on Market Volatility Based on the Shenzhen Stock Market},
journal ={Business Intelligence and Financial Engineering, International Conference on},
volume = {0},
year = {2009},
isbn = {978-0-7695-3705-4},
pages = {826-830},
doi = {http://doi.ieeecomputersociety.org/10.1109/BIFE.2009.202},
publisher = {IEEE Computer Society},
address = {Los Alamitos, CA, USA},
}
 
 
RefWorks Procite/RefMan/Endnote
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TY - CONF
JO - Business Intelligence and Financial Engineering, International Conference on
TI - The Impact of Reduced Holding Behavior Information of the Restricted Stock on Market Volatility Based on the Shenzhen Stock Market
SN - 978-0-7695-3705-4
SP826
EP830
A1 - Ling Feng,
A1 - Shanxia Xie,
PY - 2009
KW - Restricted Stock
KW - GARCH model
KW - liquidity shock
KW - volatility
VL - 0
JA - Business Intelligence and Financial Engineering, International Conference on
ER -
 
In order to study the influence of reduced holding behavior information of the restricted stocks to the Shenzhen stock market, a lshock-GARCH model is used in this paper. We construct a new liquidity shock measure to represent the market influence brought by reduced holding behavior information of the restricted stock and then put it into GARCH model to do the empirical study. The results show that on one hand the influence brought by the liquidity shock of reduced holding behavior information is very large. On the other hand, although the overall volatility in the bear market period is higher than the bull market period, the volatility brought by the liquidity shock of reduced holding behavior information in the Shenzhen stock market is more obvious in the bear market period.
Index Terms:
Restricted Stock, GARCH model, liquidity shock, volatility
Citation:
Ling Feng, Shanxia Xie, "The Impact of Reduced Holding Behavior Information of the Restricted Stock on Market Volatility Based on the Shenzhen Stock Market," bife, pp.826-830, 2009 International Conference on Business Intelligence and Financial Engineering, 2009
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