@inproceedings{222fe5f3a83a46c8af3150d2dc15e416,
title = "Impact of interest rate adjustments on the volatility of overnight return in China's stock market",
abstract = "In the paper, GARCH models are used to analyze the impact of interest rate adjustment on the volatility of overnight return of Shanghai Composite Index in China's stock market. In particular, we use GARCH model based t distribution, TGARCH, EGARCH and GARCH-M models based on normal distribution to analyze the impact of the interest rate adjustment from Sept. 16, 2008 on volatility of overnight return of the Shanghai Composite Index in China's stock market based on three months before and six months after that day. Using all these models, we reached the conclusions that the reduction of interest rates increases the volatility of overnight return of the Shanghai Composite Index. As the overnight return reflects the impact of the government policy to the volatility of stock market, the conclusion may provide some suggestions to policy making in China.",
keywords = "GARCH models, Interest rate adjustment, Overnight return, Volatility",
author = "Jiping Yang and Zhen Liu and Xiaoxuan Chen",
year = "2012",
language = "英语",
isbn = "9781629939209",
series = "5th International Institute of Statistics and Management Engineering Symposium 2012: Data-Driven Management Science under Developing, IISMES 2012",
publisher = "Aussino Academic Publishing House (AAPH)",
pages = "267--271",
booktitle = "5th International Institute of Statistics and Management Engineering Symposium 2012",
note = "5th International Institute of Statistics and Management Engineering Symposium 2012: Data-Driven Management Science under Developing, IISMES 2012 ; Conference date: 20-07-2012 Through 25-07-2012",
}