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 vola...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.展开更多
文摘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.
