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简介：ByusingGARCHandEGARCHmodels,theauthorsexaminetherelationshipbetweenpricevolatilityandnewinformationflow,representedbytradingvolume,andpastinformationflow,representedbytheARCHeffect,intheShanghaiStockMarketforthethreedifferentperiodsfromJuly1998toDecember2002:thesoftperiod,thebullperiod,andthebearperiod.Theempiricalresultsshowthat:(1)thereexistsa'leverageeffect'inthestockmarket;thatis,negativenewshadagreaterimpactonstockpricevolatilitythandidpositivenewsinthesoftperiodandbearperiod,butinthebullperiodthe'leverageeffect'behavesdifferently；(2)thereisasignificantlypositiverelationshipbetweentradingvolumeandstockpricevolatility,andsucharelationshipisevenmoresignificantinthebearperiod;(3)itturnsoutthatinthethreeperiods,therelationshipsbetweenstockpricevolatilityandinformationflow,bothpastandnew,arenotthesame;thatis,inboththesoftandbullperiods,boththeARCHeffect,reflecting'pastinformationflow',andtradingvolume,reflecting'newinformationflow',explainpricevolatilitysimultaneously,butinthebearperiod,theARCHeffectissubstantiallyreduced.Thesefindingsprovidekeyevidenceforunderstanding,explaining,andtrackingthecharacteristicsofpricevolatilityandthechangingrulesofthestockmarketinChinamorecomprehensively.

简介：Inthispaper,multivariateGARCH(MGARCH)modelsareusedtoexaminethevolatilitytransmissionbetweentheShanghaiandShenzhenstockmarkets.Weshowthatthereisanasymmetryinthepredictabilityofthevolatilityofthetwomarketsforthe1997-2003period:EvidenceofpricevolatilityspilloversfromShanghaitoShenzhenisobservedbutnovolatilityspillovereffectintheoppositedirectionisfound.WefurthershowthatthiskindofasymmetryexistsmainlyafterSeptember2000whenShenzhensuspendedA-shareIPOs.Forthepre-September2000period,however,therehasnomuchsignificantvolatilitytransmissionacrossthetwoexchangesandonlyweakvolatilityspillovereffectsfromShenzhentoShanghaiarefound.ThefindingssuggestthatthesuspensionofIPOsintheShenzhenExchangemaybereversedthedirectionofvolatilityspilloversacrossthetwomarkets.Asaresult,theShanghaiExchangehasgraduallyobtaineditsleadingstatusintermsofinformationtransmission.

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简介：Inthecontextofapushtowardsfulldisclosurebytheregulatoryauthoritiesofsecuritiesmarkets,weevaluatetheeffectivenessofcorporatedisclosurepolicybyexaminingthe'filtereffect'.Controllingforfirmsizeandearningschanges,weconductanempiricaltestofvariousdisclosureoptions.OurresultsshowsthattherecentincreaseindisclosurefrequencyinmainlandChina'ssecuritiesmarketshasnotyetachieveditsanticipatedobjective.Disclosurequalityremainslowandsmallfirmsoftenmanipulatetheirstockpricesthroughselectivereleaseofinformation.

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