Research on the Volatility of China's Real Estate Stock Market
- 10.2991/icmess-18.2018.113How to use a DOI?
- Volatility; Leverage effect; GARCH model; T-GARCH model
In order to understand the volatility and risks of China's real estate stock market, it is particularly important to effectively measure the daily fluctuations in the real estate stock market. This article analyzes China's real estate industry index and five representative companies of real estate listed companies in China (Wanke000002.SZ, China Overseas Development 00688.HK, China Evergrande 03333.HK, Country Garden 02007.HK, Poly Real Estate 600048. SH). The daily return rate data of is an experimental sample. Eviews tool is used to analyze the fluctuation characteristics of their daily returns. The results show that only the Poly Real Estate and real estate industry indices in the five listed companies and the real estate industry index are auto-correlation-only real estate. The industry index has ARCH effect, and further learns from GARCH and TARCH modeling that the volatility of the daily return rate series of the real estate industry index is aggregative and persistent, and there is asymmetry and leverage effect of the impact, which shows that the investor has an impact on the market. The negative news is very sensitive. When the stock price falls, it will sell the stock and cause the stock price to fluctuate.
- © 2018, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Lingyu Zhou PY - 2018/06 DA - 2018/06 TI - Research on the Volatility of China's Real Estate Stock Market BT - Proceedings of the 2018 2nd International Conference on Management, Education and Social Science (ICMESS 2018) PB - Atlantis Press SP - 511 EP - 516 SN - 2352-5398 UR - https://doi.org/10.2991/icmess-18.2018.113 DO - 10.2991/icmess-18.2018.113 ID - Zhou2018/06 ER -