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

Author

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  • Sebastián Cano-Berlanga

    (Universitat Rovira i Virgili
    Universitat Autònoma Barcelona)

  • José-Manuel Giménez-Gómez

    (Universitat Rovira i Virgili)

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 market 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.

Suggested Citation

  • Sebastián Cano-Berlanga & José-Manuel Giménez-Gómez, 2018. "On Chinese stock markets: How have they evolved over time?," Annals of Operations Research, Springer, vol. 266(1), pages 499-510, July.
    • Handle: RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2602-4
    DOI: 10.1007/s10479-017-2602-4
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