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On Chinese stock markets: How have they evolved along time?
Cano Berlanga, Sebastian; Giménez Gómez, José M. (José Manuel)
Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
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
336 - Finances. Banca. Moneda. Borsa
Mercats financers -- Xina
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17 p.
Working Paper
Universitat Rovira i Virgili. Departament d'Economia
Documents de treball del Departament d'Economia;2016-21

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