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

Sebastián Cano-Berlanga, José Manuel Giménez-Gómez

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4 Cites (Scopus)

Resum

© 2017, Springer Science+Business Media, LLC. 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.
Idioma originalAnglès
Pàgines (de-a)499-510
RevistaAnnals of Operations Research
Volum266
Número1-2
DOIs
Estat de la publicacióPublicada - 1 de jul. 2018

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