International Comparison of Volatility in Stock Price: Empirical Analysis for China, Europe and USA

摘要

It has been shown that the volatilities of stock markets in different countries or areas behaved differently. This paper made a comparative analysis on the volatility of stock price in China, USA and Europe with an exponential GARCH-in-mean model (EGARCH-M model), and caught some characteristics of volatility such as leptokurtosis and fat-tail and clustering effect. We found through empirical methodology that the stock market of Shanghai has a highest volatility and strongest clustering effect compared to other main markets in the world. This is mainly because of a more concentrated and violent shock of new information, and the weaker ability to absorb the new information shock.