Date of Publication

6-17-2022

Document Type

Master's Thesis

Degree Name

Master of Science in Computational Finance

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Thesis Advisor

Ricarte Pinlac

Defense Panel Chair

Tomas Tiu

Defense Panel Member

Robert Ramos
Dioscoro Baylon,Jr.

Abstract/Summary

BRICs refers to the five new economic powers including China. Because of this, as an emerging securities market, BRICs is in its infancy, compared with the mature stock market in developed countries, the market efficiency is not high. Therefore, it is of special significance to test its long memory. Through the research, we can better reflect the volatility of its valley stock market. Taking the Shanghai Composite Index and Shenzhen composite index as the research object, this paper systematically studies the long-term memory characteristics of the daily return and the daily return fluctuation series of China's stock market, establishes the corresponding arfima-figarch model, and analyzes the existing problems of its stock market. Therefore, it is necessary to continuously improve various laws and regulations, and strengthen the management of the stock market. Vigorously develop institutional investors, correctly guide and encourage people to invest, and gradually abandon the concept of the policy-led stock market. If the above can be done well, the BRICS stock market can go further on the road to efficiency. Key words: long memory, BRICS countries, modified R/S

Abstract Format

html

Language

English

Format

Electronic

Keywords

Stock exchanges—China; Stock exchanges—BRIC countries

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Embargo Period

7-14-2022

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