Long memory volatility in Chinese stock markets
Sang Hoon Kang,
Chongcheul Cheong and
Seong-Min Yoon ()
Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 7, 1425-1433
In this study, the long memory property in the volatility of Chinese stock markets is examined. For this purpose, we applied two semi-parametric tests (GPH and LW) and the FIGARCH model, to four Chinese market indices: Shanghai A, Shanghai B, Shenzhen A and Shenzhen B. From the results of our analysis, we can conclude that the volatility of Chinese stock markets exhibits long memory features, and that the assumption of non-normality provides better specifications regarding long memory volatility processes.
Keywords: Volatility persistence; Semi-parametric test; Efficient market hypothesis (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:7:p:1425-1433
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