On Chinese stock markets: How have they evolved over time?

Sebastián Cano-Berlanga () and José-Manuel Giménez-Gómez ()
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Sebastián Cano-Berlanga: Universitat Rovira i Virgili

Annals of Operations Research, 2018, vol. 266, issue 1, No 19, 499-510

Abstract: Abstract China is the largest emerging capital market with a unique setup: it issues simultaneously both (i) Class A shares addressed to Chinese domestic investors, and (ii) Class B Shares addressed to foreign investors. After Chinese stock market resumed the operation, they feature dramatic fluctuations due to policy changes and over-speculative activity of individual investors. This paper aims to analyse the evolution of both the Shanghai A and B Markets through a Markov-switching asymmetric GARCH in four different time frames.

Keywords: China stock market; Markov-switching asymmetric GARCH; Volatility (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10479-017-2602-4

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