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On Chinese stock markets: How have they evolved along time?

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  • Cano Berlanga, Sebastian
  • Giménez Gómez, José M. (José Manuel)

Abstract

China is the largest emerging capital market with a unique setup: it issues simultaneously both (i) Class A shares addressed to Chinese domestic investors, and (ii) Class B Shares addressed to foreign investors. After Chinese stock resumed the operation, they feature dramatic fluctuations due to policy changes and over-speculative activity of individual investors. This paper aims to analyse the evolution of both the Shanghai A and B Markets through a Markov-Switching asymmetric GARCH in four different time frames. Keywords: China stock market; Markov-Switching asymmetric GARCH; volatility

Suggested Citation

  • 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.
    • Handle: RePEc:urv:wpaper:2072/267085
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    References listed on IDEAS

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    Keywords

    Mercats financers -- Xina; 336 - Finances. Banca. Moneda. Borsa;

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