The Impact of Interest Rate on Information Flow Interpretation: Evidence from ChiNext | Zendy

Yongjie Zhang | Zendy; Lina Feng | Zendy; Jin Xi | Zendy; Dehua Shen | Zendy

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The Impact of Interest Rate on Information Flow Interpretation: Evidence from ChiNext

Author(s) -

Yongjie Zhang,

Lina Feng,

Jin Xi,

Dehua Shen

Publication year - 2013

Publication title -

procedia computer science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.334

H-Index - 76

ISSN - 1877-0509

DOI - 10.1016/j.procs.2013.05.083

Subject(s) - computer science , heteroscedasticity , volatility (finance) , autoregressive conditional heteroskedasticity , interpretation (philosophy) , interest rate , autoregressive model , econometrics , flow (mathematics) , economics , mathematics , macroeconomics , geometry , programming language

The objective of this paper is to employ the GARCH (generalized autoregressive conditionally heteroskedastic) methodology to investigate the impact of interest rate on the information flow interpretation. The results show that the information flow interpretation exhibits significant difference in rising period and fluctuating period of interest rate. This difference would suggest that the components of volatility are subject to macroeconomic factor. Some tentative explanations are given

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