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Volatility clustering and nontrading days in Chinese stock markets

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  • Friedmann, Ralph
  • Sanddorf-Kohle, Walter G.

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  • Friedmann, Ralph & Sanddorf-Kohle, Walter G., 2002. "Volatility clustering and nontrading days in Chinese stock markets," Journal of Economics and Business, Elsevier, vol. 54(2), pages 193-217.
  • Handle: RePEc:eee:jebusi:v:54:y:2002:i:2:p:193-217
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    References listed on IDEAS

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    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    2. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-235, April.
    3. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    4. Ma, C.K. & Rao, R.P. & Sears, R.S., 1989. "Volatility, Price Resolution, And The Effectiveness Of Price Limits," Papers t7, Columbia - Center for Futures Markets.
    5. Diebold & Lopez, "undated". "Modeling Volatility Dynamics," Home Pages _062, University of Pennsylvania.
    6. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    8. Dongweí Su, 2003. "Risk, Return and Regulation in Chinese Stock Markets," World Scientific Book Chapters,in: Chinese Stock Markets A Research Handbook, chapter 3, pages 75-122 World Scientific Publishing Co. Pte. Ltd..
    9. Shen, Chung-Hua & Wang, Lee-Rong, 1998. "Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 251-273, August.
    10. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    11. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    12. Mok, Henry M. K. & Hui, Y. V., 1998. "Underpricing and aftermarket performance of IPOs in Shanghai, China," Pacific-Basin Finance Journal, Elsevier, vol. 6(5), pages 453-474, November.
    13. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
    14. Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September.
    15. K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September.
    16. Ma, Xianghai, 1996. "Capital controls, market segmentation and stock prices: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 219-239, July.
    17. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    18. Kim, Kenneth & Rhee, S Ghon, 1997. " Price Limit Performance: Evidence from the Tokyo Stock Exchange," Journal of Finance, American Finance Association, vol. 52(2), pages 885-899, June.
    19. Poon, Winnie P. H. & Firth, Michael & Fung, Hung-Gay, 1998. "Asset pricing in segmented capital markets: Preliminary evidence from China-domiciled companies," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 307-319, August.
    20. Su, Dongwei & Fleisher, Belton M., 1999. "An empirical investigation of underpricing in Chinese IPOs," Pacific-Basin Finance Journal, Elsevier, vol. 7(2), pages 173-202, May.
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    Citations

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    Cited by:

    1. Friedmann, Ralph & Sanddorf-Kohle, Walter G., 2007. "A conditional distribution model for limited stock index returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 721-741, March.
    2. Chih-Wei Lee & Ming-Jen Chang, 2011. "Announcement Effects and Asymmetric Volatility in Industry Stock Returns: Evidence from Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(2), pages 48-61, March.
    3. Cano Berlanga, Sebastian & Giménez Gómez, José M. (José Manuel), 2016. "On Chinese stock markets: How have they evolved along time?," Working Papers 2072/267085, Universitat Rovira i Virgili, Department of Economics.
    4. repec:lan:wpaper:2452 is not listed on IDEAS
    5. Chan, Kam C. & Fung, Hung-Gay & Thapa, Samanta, 2007. "China financial research: A review and synthesis," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 416-428.
    6. Abounoori, Esmaiel & Elmi, Zahra (Mila) & Nademi, Younes, 2016. "Forecasting Tehran stock exchange volatility; Markov switching GARCH approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 264-282.
    7. Xiangmei Fan & Yanrui Wu & Nicolaas Groenewold, 2003. "The Stock Return-volume Relation and Policy Effects: The Case of the Chinese Energy Sector," Economics Discussion / Working Papers 03-15, The University of Western Australia, Department of Economics.
    8. Chih-Wei Lee & Ming-Jen Chang, 2011. "Announcement Effects and Asymmetric Volatility in Industry Stock Returns: Evidence from Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(2), pages 48-61, March.
    9. Yi-Hsien Wang & Chin-Tsai Lin, 2009. "The political uncertainty and stock market behavior in emerging democracy: the case of Taiwan," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(2), pages 237-248, March.
    10. repec:lan:wpaper:2594 is not listed on IDEAS
    11. Shenqiu Zhang & Ivan Paya & David Peel, 2009. "Linkages between Shanghai and Hong Kong stock indices," Applied Financial Economics, Taylor & Francis Journals, vol. 19(23), pages 1847-1857.
    12. repec:lan:wpaper:2371 is not listed on IDEAS
    13. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
    14. Hou, Ai Jun, 2013. "Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 12-32.
    15. Park, Beum-Jo, 2011. "Asymmetric herding as a source of asymmetric return volatility," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2657-2665, October.
    16. Philip Kostov & Ziping Wu & Seamus McErlean, 2004. "Do Chinese stock markets share common information arrival processes?," Econometrics 0410001, EconWPA.

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