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J4  2006, Vol. 3 Issue (3): 366-    DOI:
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Dynamic Analysis of Asymmetric Effect in Chinese Stock Market
 ZHANG Bing
Nanjing University,Nanjing,China

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Abstract  

The paper use rolling sample tests to research leverage effect in Chinese stock market. The paper identifies the evolving time varying of unbalance nature of leverage effect. Since 1997, the leverage effect appears in Chinese Market. Leverage effect can be explained by the government' interfere to the market and behaviour finance. Relevant Suggestions are put forward.

Key wordsvolatility      leverage effect      time varying     
Received: 15 December 2004     
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ZHANG Bing
Cite this article:   
ZHANG Bing. Dynamic Analysis of Asymmetric Effect in Chinese Stock Market[J]. J4, 2006, 3(3): 366-.
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http://manu68.magtech.com.cn/Jwk_glxb/EN/     OR     http://manu68.magtech.com.cn/Jwk_glxb/EN/Y2006/V3/I3/366
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