Diagnosing Shocks in Stock Market Returns of Greater China

Lo W.c and W.S. Chan
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Lo W.c: Open University of Hong Kong, Hong Kong
W.S. Chan: The University of Hong Kong, Hong Kong

Multinational Finance Journal, 2000, vol. 4, issue 3-4, 269-288

Abstract: Using a modified outlier identification procedure by Chen and Liu (1993), this article studies the large shocks of the Greater China stock markets. We find that while large shocks are typical in all the markets and more outliers appear in the Chinese stock markets than in the other markets. We also find that most of the outliers identified in the Hong Kong market cluster in the periods of the 1997 Asian financial crisis and after the government's market intervention in August 1998. With the exception of Hong Kong, most outliers seem to be driven by local events

Keywords: Greater China stock markets; large shocks; time series outliers (search for similar items in EconPapers)
JEL-codes: C52 G14 G15 (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:4:y:2000:i:3-4:p:269-288

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