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Article
Publication date: 22 February 2013

Jianfeng Zhang and Wenxiu Hu

The purpose of this paper is to examine whether realized volatility can provide additional information on the volatility process to the GARCH and EGARCH model, based on the data…

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Abstract

Purpose

The purpose of this paper is to examine whether realized volatility can provide additional information on the volatility process to the GARCH and EGARCH model, based on the data of Chinese stock market.

Design/methodology/approach

The realized volatility is defined as the squared overnight return plus the close to open squared return of the period between the morning and afternoon session, to plus the sum of the squared f-minute returns between the trading hours during the relevant trading day. The methodology is a GARCH (EGARCH) model with added explanation variables in the variance equation. The estimation methodology is exact maximum likelihood estimation, using the BHHH algorithms for optimization.

Findings

There are some stocks for which realized volatility measures add information in the volatility process, but there are still quite a number of stocks for which they do not contain any additional information. The 30 minutes realized volatility measures outperform measures constructed on other time intervals. The firm size, turnover rate, and amplitude also partially explain the difference in realized volatility ' s explanatory power across firms.

Research limitations/implications

When analyzing the factors determining the role of realized volatility, as the difficulty of getting the data, ownership structure and ultimately ownerships are not taken into account, except for the turnover ratio, amplitude and size.

Originality/value

This study extends firstly this line of inquiry of realized volatility into the emerging Chinese stock market. Due to the unique institutional setting in China, the results of this study have played an important role on pricing warrant for domestic investors in the Chinese market.

Details

International Journal of Managerial Finance, vol. 9 no. 1
Type: Research Article
ISSN: 1743-9132

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Book part
Publication date: 10 November 2016

Dong Jinxia and Liu Lingnan

Sociology of sport in China has evolved from being an “exotic” subject to a localized subject over the past 35 years. It is closely associated with social changes, sports policy…

Abstract

Sociology of sport in China has evolved from being an “exotic” subject to a localized subject over the past 35 years. It is closely associated with social changes, sports policy and athletic achievement of China. As a discipline of humanitarian and social sciences of sport, it is taught in virtually all universities with sports majors. There are about 500 scholars specializing in sport sociology in the country. Textbooks written by Chinese and foreign scholars are published. Academic papers on sport sociology are often published in the 15 accredited core sports journals. The most productive authors are from universities and the developed provinces and municipalities. The established research areas of sport sociology are extensive. These include national identity, athlete mobility, Olympic legacy, sport for all, sports industry issues, feminist studies, community sport, sport for the aged and disabled, etc. However, there are few studies with critical analysis and only a few in the areas of sport and religion, sport and race, and deviance in sport in China. Various kinds of financial support at different levels are available in the country. Empirical research is common with literature review, questionnaire, case study, and interview being the most frequently used methods. However, sport sociology is not considered as a major topic but as a research direction and it is not accepted widely by mainstream sociology. The future of sport sociology is promising, but not without challenges.

Details

Sociology of Sport: A Global Subdiscipline in Review
Type: Book
ISBN: 978-1-78635-050-3

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