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Direct Investment (FDI), in order to test on the impact of each of them of banking
stock return. The additional variables that expected to use should be more relevant to
the study and be supported by related supporting materials.
To improving the empirical result, it is better to apply Generalized Auto
Regressive Conditional Heteroscedasticity (GARCH) model rather than Genelized
Least Square (GLS), as this economic model is more advance in addressing and
solving for econometric problems, such as heteroscedasticity. Previous research
(Bollerslev, 1986, 1990; Muneer et. al, 2011) were found that the Generalized Auto
Regressive Conditional Heteroscedasticity (GARCH) model is sustainable in
capturing assets returns and volatility by allowing the means of assets return to be
depends on their time-varying variance together with other contributory factors.
Other than these, future researchers may try to extend the study on other
industry sectors in the Chinese stock market.
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