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Annals of Operations Research

, Volume 266, Issue 1–2, pp 499–510 | Cite as

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

  • Sebastián Cano-Berlanga
  • José-Manuel Giménez-Gómez
Analytical Models for Financial Modeling and Risk Management
  • 126 Downloads

Abstract

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.

Keywords

China stock market Markov-switching asymmetric GARCH Volatility 

Notes

Acknowledgements

The usual caveat applies. We are particularly grateful to two anonymous referees and the Editor-in-Chief for many valuable comments and suggestions that have led to a substantial improvement in the manuscript. Financial support from Generalitat de Catalunya (2014SGR325 and 2014SGR631) and Ministerio de Economía y Competitividad (ECO2016-75410-P) is acknowledged.

Supplementary material

10479_2017_2602_MOESM1_ESM.pdf (33 kb)
Supplementary material 1 (pdf 33 KB)

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Copyright information

© Springer Science+Business Media, LLC 2017

Authors and Affiliations

  1. 1.Dep. d’Economia and CREIPUniversitat Rovira i VirgiliReusSpain
  2. 2.Dep. Economia AplicadaUniversitat Autònoma BarcelonaBarcelonaSpain

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