A semi-APARCH approach for comparing long-term and short-term risk in Chinese financial market and in mature financial markets

Yuanhua Feng and Lixin Sun

No 69, Working Papers CIE from Paderborn University, CIE Center for International Economics

Abstract: The aim of this paper is to analyze the long-term and short-term risk components in Chinese financial market and to compare them with those in mature financial markets. For this purpose a most recently proposed Semi-APARCH is applied to the Shanghai Index and the Shenzhen Index, and four financial indexes in mature markets. A few important empirical findings are achieved. Firstly, the current long-term risk in Chinese financial market is stable and at a low level. Secondly, the dependence level between long-term risk in Chinese financial market and that in mature financial market is not high. Thirdly, the short-term risk in Chinese financial market differs to that in a mature financial market at least in two ways: 1) The leverage effect in Chinese financial market is much lower than that in a mature financial market. 2) The innovations in Chinese financial returns is nearly heavy-tailed distributed. This is however not the case in a mature market.

Keywords: Chinese financial market; mature financial markets; long-term risk; short-term risk; semiparametric APARCH (search for similar items in EconPapers)
JEL-codes: C14 G10 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2013-12
New Economics Papers: this item is included in nep-rmg and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://groups.uni-paderborn.de/wp-wiwi/RePEc/pdf/ciepap/WP69.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pdn:ciepap:69

Access Statistics for this paper

More papers in Working Papers CIE from Paderborn University, CIE Center for International Economics Contact information at EDIRC.
Bibliographic data for series maintained by WP-WiWi-Info ( this e-mail address is bad, please contact ) and ( this e-mail address is bad, please contact ).