SAD effect on the return volatility and dynamic relevance analysis among the unexpected returns in China's market indices
by Mao Yang
International Journal of Networking and Virtual Organisations (IJNVO), Vol. 6, No. 4, 2009

Abstract: Many studies on stock return volatility have been done, but the literature about unexpected returns and their conditional variance has been scarce so far. This paper examines the effect of the medical phenomenon Seasonal Affective Disorder (SAD) on Chinese market indices' unexpected return volatility under the control of weekend effect and January effect by using the GARCH models, further analysing dynamic relevance relationships of the unexpected return among China's stock indices by constructing the near-VAR model. The results obtained indicate that the SAD effect on the unexpected return volatility of Chinese market indices is very significant for Chinese stock indices and the Shanghai composite index plays a most influential role among the other stock markets.

Online publication date: Mon, 25-May-2009

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Networking and Virtual Organisations (IJNVO):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email