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Title:
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On Chinese stock markets: How have they evolved along time?
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Author:
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Cano Berlanga, Sebastian; Giménez Gómez, José M. (José Manuel)
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Other authors:
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Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
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Abstract:
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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 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 |
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Publication date:
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2016 |
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Subject (UDC):
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336 - Finances. Banca. Moneda. Borsa |
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Subject(s):
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Mercats financers -- Xina |
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Rights:
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L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/4.0/ |
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Pages:
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17 p. |
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Document type:
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Working Paper |
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Published by:
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Universitat Rovira i Virgili. Departament d'Economia
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Collection:
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Documents de treball del Departament d'Economia;2016-21
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