Abstract
Based on the ARCH-GARCH model, this paper uses the GARCH model and its extended models to analyze the relation among the interbank interest rate, the securities’ trading volume and the securities’ return. We point out that the money market has some significant affections on the securities market. The interbank interest rate and the securities’ trading volume all have affections on the securities’ return. Shanghai Stock Market is more mature and steady.
| Translated title of the contribution | The Affection of the Interbank Interest Rate and Securities’ Trading Volume on the Securities’ Return——the Application of The GARCH Model |
|---|---|
| Original language | Chinese (Simplified) |
| Pages (from-to) | 49-57 |
| Journal | 系统工程理论与实践 |
| Volume | 1999 |
| Issue number | 9 |
| Publication status | Published - Sept 1999 |
| Externally published | Yes |
Research Keywords
- GARCH 模型
- GARCH-M 模型
- 货币市场
- 证券市场
- GARCH model
- GARCH-M model
- money market
- securities market