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Research on the Correlation Between Price Index and Capitalization of Financial Assets Under Financial Crisis

Author: WangLin
Tutor: TianBoPing
School: Harbin Institute of Technology
Course: Probability Theory and Mathematical Statistics
Keywords: Stock price Capitalization of financial assets Co-integration GARCH model
CLC: F830
Type: Master's thesis
Year: 2010
Downloads: 55
Quote: 0
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Abstract


2007, the outbreak of the U.S. subprime mortgage crisis triggered the rapid spread of the global financial crisis. In this context, governments have adopted a large injection of assets to the financial markets to complement the financial market liquidity and got a good effect to stabilize the financial markets initially. This paper applies the financial time series to analyze the linkage between SSE Composite Index and capitalization of total assets in financial markets, and to study the stock returns volatility before and after the crisis, by using daily data over the period of January 4, 2005 to February 25, 2010.Considering the outbreak of the financial crisis as a huge financial event may affect the correlation characteristics of the Shanghai Stock Index and the total assets, firstly the Quandt-Andrews breakpoint test is used to find the structural break point. Secondly compare the subprime of crisis financial event, divide the entire sample interval, the crisis before, during, and after three sub-ranges.Co-integration VEC model and Granger causality test are used to indicate that: before the crisis, there is no correlation between the stock price and the capitalization of financial assets; during and after the crisis, the stock price becomes more sensitive to the variation of the total capitalization of the stock markets, they show a positive correlation.Used the GARCH model family, we suggest that the volatility of stock returns before and after the crisis has a significant different performance, in the crisis, stock fluctuations are relatively large, and shows obvious asymmetry and leverage effects, bad news than good news generate greater volatility; after the crisis, the stock returns still showed a strong leverage effect, indicating that although the impact of the crisis in the process of faded, the stock market continues to show a strong volatility and instability.

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