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- W2352923007 abstract "The reform of non-tradable shares beginning at 2005 was an important institutional change in China's stock market which no doubt had profound influence on the volatility of the market.This paper conducts an empirical study using the ARCH models to analyze the volatility of the Shanghai A-share index and Shenzhen component A-share index both in equity division period and post-equity division period,meanwhile the possible reasons are explored.It finds out that:(1)reform of non-tradable shares increases significantly the volatility of Shenzhen component A-share index,whereas it does not increases significantly the volatility of Shanghai composite A-share index;(2)volatility caused by new information is smaller;(3)leverage effect in equity division period is very obvious,while there is somewhat reverse leverage effect in post equity division period,but not significant;(4)the long-term volatility which has longer memory in post equity division period is greater than that of equity division period.In the end of this paper the related advices are proposed." @default.
- W2352923007 created "2016-06-24" @default.
- W2352923007 creator A5014037059 @default.
- W2352923007 date "2012-01-01" @default.
- W2352923007 modified "2023-09-24" @default.
- W2352923007 title "Equity Division,Post-equity Division and the Volatility of Stock Market" @default.
- W2352923007 hasPublicationYear "2012" @default.
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