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Modelling stock market data in China: Crisis and Coronavirus

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  • Cristofaro, Lorenzo
  • Gil-Alana, Luis A.
  • Chen, Zhongfei
  • Wanke, Peter

Abstract

Global financial markets experienced distinct collapses during the global financial crisis in 2008 and the COVID-19 pandemic in 2020, and similarity in the underlying nature is still a hot topic to be investigated. This paper investigates their degree of persistence in order to detect whether the shocks affecting them have temporary or permanent effects by examining the closing prices of the Shanghai and Shenzhen Composite Indices from 1991 to 2020. The results before the coronavirus indicate large degrees of persistence with shocks having permanent effects, while during the coronavirus the results indicate a mean reversion with shocks having temporary effects.

Suggested Citation

  • Cristofaro, Lorenzo & Gil-Alana, Luis A. & Chen, Zhongfei & Wanke, Peter, 2021. "Modelling stock market data in China: Crisis and Coronavirus," Finance Research Letters, Elsevier, vol. 41(C).
    • Handle: RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316792
    DOI: 10.1016/j.frl.2020.101865
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    More about this item

    Keywords

    Stock market; China; long memory; persistence;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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