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

Identifier:  PC:2319

Handle: https://hdl.handle.net/20.500.11797/PC2319

Authors:  Giménez Gómez, José M. (José Manuel); Cano Berlanga, Sebastian

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