Data for: Interindustry Volatility Spillover Effects in China's Stock Market

Published: 14-10-2019| Version 1 | DOI: 10.17632/v2wjf3p42c.1
Xue Jin


The data for this study consist of the daily opening, highest, lowest and closing prices of 10 industry indices, including the energy industry index (EII), raw material industry index (RMII), industrial sector index (ISI), optional consumer industry index (OCII), major consumer industry index (MCII), medical and health industry index (MHII), financial real estate industry index (FEII), information technology industry index (ITII), telecom business industry index (TBII) and utilities industry index (UII) of the Shanghai stock exchange (SSE). The Shanghai Stock Exchange Industry Index can reflect the overall performance of the stocks of companies in different sectors of the Shanghai stock market and provide a target for the development of indexed investment products, especially ETF. The base period was December 31, 2013 with a base point of 1000, which was started in January 9, 2009. The sample period is January 9, 2009 to June 29, 2018 and includes a total of 2303 groups of daily data. These data sets were extracted from the Wind information database. The rates of returns are calculated from yesterday’s and today’s closing prices in the form of a logarithmic expression. The realized range fluctuation rates are calculated using the range estimation method based on the stochastic volatility model.