First and second order instability of the Shanghai and Shenzhen share price indices
First and second order instability tests are applied to China's two major share market price indices (SPIs), Shanghai share market price index (SES) and Shenzhen share market price index (SZS) using daily data from 2 January 1992 to 16 July 2004. First order instability is synonymous with non stationarity and second order instability with structural breaks. Applying procedures developed by Perron (1997) and Zivot and Andrews (1992), it is found that both share price indices are unstable in the first and second order. The Shanghai series breaks in December 1999 and Shenzhen in May 1999. Existence of the share A (domestic listing) and share B (foreign listing) seem to buffer both markets against the worst effects of the Asian Crisis and September 11 attack. These shocks were apparently absorbed by the foreign listings of shares.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 13 (2006)
Issue (Month): 9 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:13:y:2006:i:9:p:605-608. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.