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

Sebastián Cano-Berlanga, José Manuel Giménez-Gómez

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)

Abstract

© 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.
Original languageEnglish
Pages (from-to)499-510
JournalAnnals of Operations Research
Volume266
Issue number1-2
DOIs
Publication statusPublished - 1 Jul 2018

Keywords

  • China stock market
  • Markov-switching asymmetric GARCH
  • Volatility

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