Structural Breaks in Volatility: The Case of Chinese Stock Returns

被引：7

作者：

Ni, Jinlan ^{[1
]}

Wohar, Mark E. ^{[1
]}

Wang, Beichen ^{[2
]}

机构：

[1] Univ Nebraska, Dept Econ, 6708 Pine St,MH 332F, Omaha, NE 68182 USA

[2] Hong Kong Univ Sci & Technol, Sch Business & Management, Dept Finance, Kowloon, Hong Kong, Peoples R China

来源：

CHINESE ECONOMY | 2016年 / 49卷 / 02期

关键词：

GARCH model; persistence; structural breaks; volatility;

D O I：

10.1080/10971475.2016.1143302

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article tests for periodic breaks in the unconditional variance of stock return data on two Chinese stock return market indexes. Using the modified ICSS algorithm, we observe three breaks in the Shanghai Stock Exchange composite index and Shenzhen Stock Exchange composite index series. We document the policy changes related to the Chinese stock market and explain that the Chinese stock market is largely influenced by government policy.

引用

页码：81 / 93

页数：13

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