One country, two systems? The heavy-tailedness of Chinese A- and H- share markets

Zhimin Chen and Rustam Ibragimov

Emerging Markets Review, 2019, vol. 38, issue C, 115-141

Abstract: Chinese A- and H– share markets operate in different institutional environments (emerging/developing v.s. developed) and thus may have different tail risk properties. This paper focuses on the analysis of heavy-tailedness properties of these two markets using recently developed robust inference methods. The equality of tail indices of returns for A and H dual-listed companies cannot be rejected, and some A- and H– share returns may have infinite second moments. Their heavy-tailedness properties did not change significantly with respect to the 2008 financial crisis and the date when the corresponding company starts to be dual-listed.

Keywords: Heavy-tailedness; Crises; Emerging markets; China; Financial returns; A- and H-share markets (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:38:y:2019:i:c:p:115-141

DOI: 10.1016/j.ememar.2018.11.007

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