Are Shocks Asymmetric to Volatility of Chinese Stock Markets?

Wei-Chiao Huang () and Yuanlei Zhu ()
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Wei-Chiao Huang: Department of Economics, Western Michigan University, 1903 West Michigan Avenue, Kalamazoo, MI 49008, USA
Yuanlei Zhu: Department of Economics, Western Michigan University, 1903 West Michigan Avenue, Kalamazoo, MI 49008, USA

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2004, vol. 07, issue 03, 379-395

Abstract: This paper uses ARCH models to examine if there is a leverage effect and also to test if A- and B-share holdings have different risks in Chinese stock markets before and after B-share markets open to domestic investors in February 2001. The empirical results suggest that leverage effect was not present and shocks have symmetric impact on the volatility of Chinese B-share stock returns in both periods and A-share returns in Period I. Thus GARCH model would be a better model to fit the Chinese B-share stock returns than EGARCH or GJR-GARCH model. But EGARCH or GJR-GARCH model fits recent (Period II) A-share markets data better than GARCH model. Another finding of this paper is that holding A- or B-share bears different risk in returns in the two Chinese markets. Furthermore, news or shocks have a larger impact on volatility of B-share returns in Period I than in Period II.

Keywords: Leverage effect; asymmetric/symmetric; volatility; Chinese stock market; ARCH models (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2004
References: View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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DOI: 10.1142/S0219091504000159

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