Structural Breaks in Volatility: The Case of Chinese Stock Returns

Jinlan Ni (), Mark Wohar and Beichen Wang

Chinese Economy, 2016, vol. 49, issue 2, 81-93

Abstract: This article tests for periodic breaks in the unconditional variance of stock return data on two Chinese stock return market indexes. Using the modified ICSS algorithm, we observe three breaks in the Shanghai Stock Exchange composite index and Shenzhen Stock Exchange composite index series. We document the policy changes related to the Chinese stock market and explain that the Chinese stock market is largely influenced by government policy.

Date: 2016
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DOI: 10.1080/10971475.2016.1143302

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