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One country, two systems? The heavy-tailedness of Chinese A- and H- share markets

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  • Chen, Zhimin
  • Ibragimov, Rustam

Abstract

Chinese A- and H– share markets operate in different institutional environments (emerging/developing v.s. developed) and thus may have different tail risk properties. This paper focuses on the analysis of heavy-tailedness properties of these two markets using recently developed robust inference methods. The equality of tail indices of returns for A and H dual-listed companies cannot be rejected, and some A- and H– share returns may have infinite second moments. Their heavy-tailedness properties did not change significantly with respect to the 2008 financial crisis and the date when the corresponding company starts to be dual-listed.

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  • Chen, Zhimin & Ibragimov, Rustam, 2019. "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 115-141.
    • Handle: RePEc:eee:ememar:v:38:y:2019:i:c:p:115-141
    DOI: 10.1016/j.ememar.2018.11.007
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