On Chinese stock markets: How have they evolved along time?

Sebastian Cano Berlanga and Giménez Gómez, José M. (José Manuel)

Working Papers from Universitat Rovira i Virgili, Department of Economics

Abstract: China is the largest emerging capital market with a unique setup: it issues simultaneously both (i) Class A shares addressed to Chinese domestic investors, and (ii) Class B Shares addressed to foreign investors. After Chinese stock resumed the operation, they feature dramatic fluctuations due to policy changes and over-speculative activity of individual investors. This paper aims to analyse the evolution of both the Shanghai A and B Markets through a Markov-Switching asymmetric GARCH in four different time frames. Keywords: China stock market; Markov-Switching asymmetric GARCH; volatility

Keywords: Mercats financers -- Xina; 336 - Finances. Banca. Moneda. Borsa (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-cna and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:urv:wpaper:2072/267085

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