Modelling stock market data in China: Crisis and Coronavirus

Lorenzo Cristofaro, Luis Gil-Alana, Zhongfei Chen and Peter Wanke

Finance Research Letters, 2021, vol. 41, issue C

Abstract: Global financial markets experienced distinct collapses during the global financial crisis in 2008 and the COVID-19 pandemic in 2020, and similarity in the underlying nature is still a hot topic to be investigated. This paper investigates their degree of persistence in order to detect whether the shocks affecting them have temporary or permanent effects by examining the closing prices of the Shanghai and Shenzhen Composite Indices from 1991 to 2020. The results before the coronavirus indicate large degrees of persistence with shocks having permanent effects, while during the coronavirus the results indicate a mean reversion with shocks having temporary effects.

Keywords: Stock market; China; long memory; persistence (search for similar items in EconPapers)
JEL-codes: C22 E31 E44 G10 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316792

DOI: 10.1016/j.frl.2020.101865

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