On Chinese stock markets: How have they evolved over time?
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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.
KeywordsChina stock market Markov-switching asymmetric GARCH Volatility
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.
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