Abstract
In this article, we investigated the volatility of Chinese open-end funds market by using Zhongxin open-end funds index. According to the characteristics of different GARCH models, we empirically studied GARCH, EGARCH and GARCH_M model. The result indicated that GARCH (1, 1) model and GARCH_M (1, 1) model could better fit the characteristics of the index return rate. At the same time, the result of empirical study showed that the volatility-clustering and conditional heteroscedasticity of the return sequence of open-end funds were significant, open-end funds market in China had a strong motive of speculation, exterior impact had sustainable influences to the market fluctuation, the volatility of fund market was notable asymmetry, and the return of fund had obvious risk premium effect.
Highlights
With the reform and development of China capital market, the open-end funds of China have acquired rapid development
Niu Fanglei and Lu Xiaoguang (2005) selected the SSE Fund Index as the research objective, and implemented empirical analysis to the closed-end funds by ARCH model group, and the result showed that the return of the SSE Fund Index put up the characters of non-normality and conditional heteroscedasticity, and the GARCH (1, 1) model has good fitting effect to the fluctuation of the funds index
Guo Xiaoting (2006) took three fund indexes including Zhongxin Fund Index as samples and empirically studied the fluctuation characters of clustering and asymmetry, and the result indicated that the volatility of the fund market possessed characters of clustering and leverage effect and had not obvious risk premium effect
Summary
With the reform and development of China capital market, the open-end funds of China have acquired rapid development. With the continual development of China open-end funds market, it is more and more necessary to study its volatility. Many domestic scholars studied the volatility of the close-end funds market. Guo Xiaoting (2006) took three fund indexes including Zhongxin Fund Index as samples and empirically studied the fluctuation characters of clustering and asymmetry, and the result indicated that the volatility of the fund market possessed characters of clustering and leverage effect and had not obvious risk premium effect. Few relative domestic scholars studied the volatility of the open-end fund market, and the limitation of these researches was that they only studied one fund and didn’t research the total market volatility of open-end funds. Starting from the view of the total open-end fund market, through repeat experiments and comparisons, we selected proper model to implement fitting and tried to find out the total market volatility of the open-end funds
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