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Structural Breaks in Volatility: The Case of Chinese Stock Returns

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  • Jinlan Ni
  • Mark E. Wohar
  • Beichen Wang

Abstract

This article tests for periodic breaks in the unconditional variance of stock return data on two Chinese stock return market indexes. Using the modified ICSS algorithm, we observe three breaks in the Shanghai Stock Exchange composite index and Shenzhen Stock Exchange composite index series. We document the policy changes related to the Chinese stock market and explain that the Chinese stock market is largely influenced by government policy.

Suggested Citation

  • Jinlan Ni & Mark E. Wohar & Beichen Wang, 2016. "Structural Breaks in Volatility: The Case of Chinese Stock Returns," Chinese Economy, Taylor & Francis Journals, vol. 49(2), pages 81-93, March.
    • Handle: RePEc:mes:chinec:v:49:y:2016:i:2:p:81-93
    DOI: 10.1080/10971475.2016.1143302
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    Cited by:

    1. Terence Tai-Leung Chong & Nasha Li & Lin Zou, 2017. "A New Approach to Modeling Sector Stock Returns in China," Chinese Economy, Taylor & Francis Journals, vol. 50(5), pages 305-322, September.
    2. Pasquale Tridico & Riccardo Pariboni, 2017. "Structural Change, Aggregate Demand And The Decline Of Labour Productivity: A Comparative Perspective," Departmental Working Papers of Economics - University 'Roma Tre' 0221, Department of Economics - University Roma Tre.
    3. Yang-Chao Wang & Jui-Jung Tsai & Qiaoqiao Li, 2017. "Policy Impact on the Chinese Stock Market: From the 1994 Bailout Policies to the 2015 Shanghai-Hong Kong Stock Connect," IJFS, MDPI, vol. 5(1), pages 1-19, January.
    4. Davide De Gaetano, 2017. "A Bootstrap Bias Correction Of Long Run Fourth Order Moment Estimation In The Cusum Of Squares Test," Departmental Working Papers of Economics - University 'Roma Tre' 0220, Department of Economics - University Roma Tre.

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