ABSTRACT
ABSTRACT: In the year of 2005, China started the Shareholder Structure Reform. In 2009, the Chinese stock market entered an era of full circulation by cancelling the ban on Large-sized Non-tradable Shares. In this paper the GARCH-type models are used to analyze the characteristics of the Shenzhen stock market volatility during the era of full circulation which, according to the Shenzhen Index, occurred from January 4, 2010 to November 30, 2012. With this analysis the authors have found that the volatility of the Shenzhen stock market, after cancelling the ban on State-owned Shares, did not significantly change and had similar characteristics compared to the time before the ban on Large-sized Non-tradable Shares was cancelled.
