Structural break in different stock index markets in China

Boyan Li and Xundi Diao

The North American Journal of Economics and Finance, 2023, vol. 65, issue C

Abstract: This paper first presents a two-stage change point estimation approach in the framework of online analysis to detect the Chinese stock market abrupt variations during the period from 4 January 2005 to 10 December 2021. As a check, the pruned exact linear time (PELT) algorithm method is applied to detect structural changes in the framework of offline analysis in terms of all data. We select four representative indices in Chinese markets to find some important time-stamp tags. The results show that all indices can detect some common events, while the small-cap and small-mid-cap indices can identify local risks such as China’s market freezing. Besides, we find some events such as the global financial crisis and China’s market freezing can incur the inverse anomaly with higher volatility in lower reward.

Keywords: Change point; Two-stage estimation method; Pruned exact linear time algorithm; Significant events (search for similar items in EconPapers)
JEL-codes: C13 C22 C52 G15 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000050

DOI: 10.1016/j.najef.2023.101882

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