TY - JOUR
T1 - On Chinese stock markets: How have they evolved over time?
AU - Cano-Berlanga, Sebastián
AU - Giménez-Gómez, José Manuel
PY - 2018/7/1
Y1 - 2018/7/1
N2 - © 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.
AB - © 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.
KW - China stock market
KW - Markov-switching asymmetric GARCH
KW - Volatility
U2 - 10.1007/s10479-017-2602-4
DO - 10.1007/s10479-017-2602-4
M3 - Article
SN - 0254-5330
VL - 266
SP - 499
EP - 510
JO - Annals of Operations Research
JF - Annals of Operations Research
IS - 1-2
ER -