dc.contributor |
Universitat Rovira i Virgili. Departament d'Economia |
dc.contributor |
Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
dc.contributor.author |
Cano Berlanga, Sebastian |
dc.contributor.author |
Giménez Gómez, José M. (José Manuel) |
dc.date.accessioned |
2016-09-30T15:37:56Z |
dc.date.available |
2016-09-30T15:37:56Z |
dc.date.created |
2016-07-28 |
dc.date.issued |
2016 |
dc.identifier.uri |
http://hdl.handle.net/2072/267085 |
dc.format.extent |
17 p. |
dc.language.iso |
eng |
dc.publisher |
Universitat Rovira i Virgili. Departament d'Economia |
dc.relation.ispartofseries |
Documents de treball del Departament d'Economia;2016-21 |
dc.rights |
info:eu-repo/semantics/openAccess |
dc.rights |
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/ |
dc.source |
RECERCAT (Dipòsit de la Recerca de Catalunya) |
dc.subject.other |
Mercats financers -- Xina |
dc.title |
On Chinese stock markets: How have they evolved along time? |
dc.type |
info:eu-repo/semantics/workingPaper |
dc.subject.udc |
336 - Finances. Banca. Moneda. Borsa |
dc.embargo.terms |
cap |
dc.description.abstract |
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 |