Cross Listing and Price Volatility Based on Time Series Filter in Chinese Stock Market

摘要

As the fundamental model tool, time series filter can help specialist and researcher to examine volatility. The time series filter may play a significant role in statistical model building. The foreign law and market bond the behavior of self-interest in emerging market. The empirical evidence results indicate that Coefficient of GARCH (1) in Table 1 is bigger than Coefficient of GARCH (1) in Table 2.After cross listing, price volatility of the share is increased for different expectations. The relation between cross listing and price volatility of the share may be changed with different markets. We provide theoretical and practical evidence for time series filter on volatility as a normal approach.