Modelling stock market data in China: Crisis and Coronavirus

被引：3

作者：

Cristofaro, Lorenzo ^{[1
]}

Gil-Alana, Luis A. ^{[2
,3
]}

Chen, Zhongfei ^{[4
]}

Wanke, Peter ^{[5
]}

机构：

[1] Sapienza Univ Rome, Dept Stat Sci, Rome, Italy

[2] Univ Navarra, Dept Econ, Pamplona, Spain

[3] Univ Francisco Vitoria, Madrid, Spain

[4] Jinan Univ, Sch Econ, Guangzhou, Peoples R China

[5] Univ Fed Rio de Janeiro, COPPEAD Grad Business Sch, Rio De Janeiro, Brazil

来源：

FINANCE RESEARCH LETTERS | 2021年 / 41卷

关键词：

Stock market; China; long memory; persistence; LONG MEMORY; FRACTIONAL-INTEGRATION; DEPENDENCE; TESTS;

D O I：

10.1016/j.frl.2020.101865

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Global financial markets experienced distinct collapses during the global financial crisis in 2008 and the COVID-19 pandemic in 2020, and similarity in the underlying nature is still a hot topic to be investigated. This paper investigates their degree of persistence in order to detect whether the shocks affecting them have temporary or permanent effects by examining the closing prices of the Shanghai and Shenzhen Composite Indices from 1991 to 2020. The results before the coronavirus indicate large degrees of persistence with shocks having permanent effects, while during the coronavirus the results indicate a mean reversion with shocks having temporary effects.

引用

页数：6

共 37 条

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