Market impact analysis of China A-shares into MSCI index--comparison of volatility between MSCI China international index and CSI 300 index
Lu Gao, Lian Chen
Available Online October 2017.
- https://doi.org/10.2991/febm-17.2017.128How to use a DOI?
- MSCI, China A share international index, CSI 300 index ,volatility,GARCH model
- In June 21, 2017, MSCI officially announced that from the beginning of June 2018 ,China A shares will be included in the MSCI emerging markets index and MSCI ACWI (All Country World Index) global index. The significance of this paper lies in: through the comparison of the relevant index's volatility ,from the results of empirical research, we analyzed the domestic investors investment behavior, explained the significance of China's A share index into MSCI index, and put forward the corresponding suggestions of the development of Chinese securities market.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Lu Gao AU - Lian Chen PY - 2017/10 DA - 2017/10 TI - Market impact analysis of China A-shares into MSCI index--comparison of volatility between MSCI China international index and CSI 300 index BT - Second International Conference On Economic and Business Management (FEBM 2017) PB - Atlantis Press SN - 2352-5428 UR - https://doi.org/10.2991/febm-17.2017.128 DO - https://doi.org/10.2991/febm-17.2017.128 ID - Gao2017/10 ER -