Scale-Heterogeneity of Stock Price Volatility: Evidence from Listed Companies of Real Estate Industry in China

摘要

To explore the features of stock price volatility in real estate industry under the scale heterogeneity, we use GARCH, TGARCH and EGARCH models to analyze the stock volatility of large- and small-scale real estate firms in China, and compare their results with the Shanghai Composite Index (SHCI). The empirical results show that all three returns for large- and small-scale real estate firms and SHCI have heteroscedasticity, volatility persistence and asymmetry. Besides, the return series of Shanghai Composite Index exerts a negative leverage effect, while the leverage effect for larger- and small-scale real estate companies shows positive.