摘要
This paper concerns with the efficiency of speculative market to incorporate new information into price.The GARCH(1,1) model is modified to capture the effect of information disseminating speed on the conditional volatility of stock index returns.Different empirical results are presented when this model applied to Shanghai and New York stock markets.We also explain empirical results according to the difference between two markets’ microstructures.
This paper concerns with the efficiency of speculative market to incorporate new information into price. The GARCH（ 1,1 ） model is modified to capture the effect of information disseminating speed on the conditional volatility of stock index returns. Different empirical results are presented when this model applied to Shanghai and New York stock markets. We also explain empirical results according to the difference between two markets＇ microstructures.
出处
《统计研究》
CSSCI
北大核心
2006年第8期52-56,共5页
Statistical Research
基金
国家社科基金(05BJL028)资助。
