Proceedings of the 2018 2nd International Conference on Management, Education and Social Science (ICMESS 2018)

Research on the Volatility of China's Real Estate Stock Market

Authors
Lingyu Zhou
Corresponding Author
Lingyu Zhou
Available Online June 2018.
DOI
https://doi.org/10.2991/icmess-18.2018.113How to use a DOI?
Keywords
Volatility; Leverage effect; GARCH model; T-GARCH model
Abstract
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.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Proceedings
2018 2nd International Conference on Management, Education and Social Science (ICMESS 2018)
Part of series
Advances in Social Science, Education and Humanities Research
Publication Date
June 2018
ISBN
978-94-6252-520-7
ISSN
2352-5398
DOI
https://doi.org/10.2991/icmess-18.2018.113How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

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  - 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  - https://doi.org/10.2991/icmess-18.2018.113
ID  - Zhou2018/06
ER  -