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GREY-GARCH - based model of the Chinese stock market volume and price relationship

Author: NiJianLi
Tutor: WuHaiHua
School: Qingdao University
Course: Finance
Keywords: Shanghai Stock index Shenzhen Stock index GREY models Modified GARCH models
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 15
Quote: 0
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Abstract


With the rapid development of the world economy, the importance of finance in economic status is increasingly, the stock market as an important part of the securities market, which is an important channel of financing for the enterprise, and it plays an important part of optimizing the allocation resources. China’s stock markets experienced after share-trading reform, high-speed growth, with the continuous development of China’s stock market trading and perfected, rise dramatically increased gradually, their status.Stock price and volume are the most important variable of stock market, and the relation between price and volume is the most basic relationship of the technical analysis, price volume relation studies for the profound understanding of the microscopic structure of the market price transmission mechanism, thus have the positive role of the financial sector is always research center. Price volume relation studies can help us to understand the impact of price fluctuation, trading for us to recognize and degree has important significance to grasp the securities market This article put the gray system theory into auto-regressive conditional heteroscedastic model, select January 4,2007 to December 31,2010 Shanghai securities market and Shenzhen stock market closing index and trading as sample, using GREY-GARCH model, hope to accurately grasp Chinese stock market rules help.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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