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Structural change in volatility in China’s stock market: a functional data analysis. (Chinese. English summary) Zbl 1438.91143

Summary: Functional data checking by intraday model is a new method of financial sequence stability analysis. The change in structure of China’s stock market fluctuation has been studied. In period of wild fluctuations in China’s stock market, intraday pattern of single stock fluctuated and variation was common, a certain correlation existed between individual stocks. But intraday pattern of market’s general fluctuation stayed the same, showing a stable internal structure of market fluctuations.

MSC:

91G15 Financial markets
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