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An Empirical Analysis of the Volatility in the Open-End Fund Market: Evidence from China

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  • Shiqing Xie
  • Xichen Huang

Abstract

This paper applies a set of GARCH models to investigate the three characteristics, including time persistence, leverage effect, and risk premium, of the volatilities of the four China Securities Index (CSI) fund indices. This study made the following four findings: (1) a strong ARCH effect exists in the returns; (2) time persistence is significant in all the CSI fund indices, namely, "stock index," "hybrid index," and "bond index" in descending order of significance; (3) the leverage effect is not statistically significant, yet there may be a positive leverage effect on the bond funds; (4) a risk premium effect exists in the open-end fund market, especially in the bond fund market.

Suggested Citation

  • Shiqing Xie & Xichen Huang, 2013. "An Empirical Analysis of the Volatility in the Open-End Fund Market: Evidence from China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S4), pages 150-162, September.
    • Handle: RePEc:mes:emfitr:v:49:y:2013:i:s4:p:150-162
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    Cited by:

    1. Murat Akkaya, 2021. "An Analysis of the Stock Market Volatility Spread in Emerging Countries," Istanbul Business Research, Istanbul University Business School, vol. 50(2), pages 215-233, November.

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