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

被引：3

作者：

Cano-Berlanga, Sebastian ^{[1
,2
,3
]}

Gimenez-Gomez, Jose-Manuel ^{[1
,2
]}

机构：

[1] Univ Rovira & Virgili, Dept Econ, Av Univ 1, Reus 43204, Spain

[2] Univ Rovira & Virgili, CREIP, Av Univ 1, Reus 43204, Spain

[3] Univ Autonoma Barcelona, Dept Econ Aplicada, E-08193 Barcelona, Spain

来源：

ANNALS OF OPERATIONS RESEARCH | 2018年 / 266卷 / 1-2期

关键词：

China stock market; Markov-switching asymmetric GARCH; Volatility; CONDITIONAL HETEROSKEDASTICITY; VOLATILITY; MODELS;

D O I：

10.1007/s10479-017-2602-4

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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.

引用

页码：499 / 510

页数：12

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