A semi-APARCH approach for comparing long-term and short-term risk in Chinese financial market and in mature financial markets
AbstractThe aim of this paper is to analyze the long-term and short-term risk components in Chinese financial market and to compare them with those in mature financial markets. For this purpose a most recently proposed Semi-APARCH is applied to the Shanghai Index and the Shenzhen Index, and four financial indexes in mature markets. A few important empirical findings are achieved. Firstly, the current long-term risk in Chinese financial market is stable and at a low level. Secondly, the dependence level between long-term risk in Chinese financial market and that in mature financial market is not high. Thirdly, the short-term risk in Chinese financial market differs to that in a mature financial market at least in two ways: 1) The leverage effect in Chinese financial market is much lower than that in a mature financial market. 2) The innovations in Chinese financial returns is nearly heavy-tailed distributed. This is however not the case in a mature market.
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Bibliographic InfoPaper provided by University of Paderborn, CIE Center for International Economics in its series Working Papers with number 69.
Length: 25 pages
Date of creation: Dec 2013
Date of revision:
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Chinese financial market; mature financial markets; long-term risk; short-term risk; semiparametric APARCH;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-09-26 (All new papers)
- NEP-ORE-2013-09-26 (Operations Research)
- NEP-RMG-2013-09-26 (Risk Management)
- NEP-TRA-2013-09-26 (Transition Economics)
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