Wenrong Pan

We don’t have enough information about this author to calculate their statistics. If you think this is an error let us know.
Learn More
  • Wenrong Pan
  • 2010 International Conference on Financial Theory…
  • 2010
Based on Shanghai and Shenzhen 300 Index, this paper firstly uses such GARCH family models as EGARCH, TGARCH, etc to analyze the volatility of the stock returns series of A share in China. In conclusion, the stock returns series is stationary and has a outstanding ARCH effect. There is a volatility clusters in China stock market. Moreover, a negative shock(More)
The paper uses correlation analysis, unit-root test, co-integration test and Granger-causality test to analyze the stock market co-movement among China mainland, Hongkong and America from November 15, 2002 to December 31, 2008. In conclusion, there is a stock market co-movement relationship among China mainland, Hongkong and America after China government(More)
  • 1