Impact of Stock Market Policy on China A-Share Volatility

来源 :中国系统工程学会 | 被引量 : 0次 | 上传用户：zhangdeyu520

【摘要】

：

We examine different volatility measures of China SSE 50 index and the correspondent ETF(510050.SH),including rolling window sample volatility,GARCH-inferred volatility,at-the-money option-implied vol

【作者】

：

Tianxiang Liu Desheng Wu

【机构】

：

School of Economics and Management,University of Chinese Academy of Sciences,China;Sino-Danish Cente

【出处】

：

中国系统工程学会

【发表日期】

：

2015年3期

【关键词】

：

Volatility Option Event Study China A-Share Market

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Impact of Stock Market Policy on China A-Share Volatility

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