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

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RECERCAT Home > Universitat Rovira i Virgili > Departament d'Economia > Documents de treball del Departament d'Economia > View document

Use this identifier to quote or link this document: http://hdl.handle.net/2072/267085

dc.contributor	Universitat Rovira i Virgili. Departament d'Economia
dc.contributor	Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
dc.contributor.author	Cano Berlanga, Sebastian
dc.contributor.author	Giménez Gómez, José M. (José Manuel)
dc.date.accessioned	2016-09-30T15:37:56Z
dc.date.available	2016-09-30T15:37:56Z
dc.date.created	2016-07-28
dc.date.issued	2016
dc.identifier.uri	http://hdl.handle.net/2072/267085
dc.format.extent	17 p.
dc.language.iso	eng
dc.publisher	Universitat Rovira i Virgili. Departament d'Economia
dc.relation.ispartofseries	Documents de treball del Departament d'Economia;2016-21
dc.rights	info:eu-repo/semantics/openAccess
dc.rights	L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.source	RECERCAT (Dipòsit de la Recerca de Catalunya)
dc.subject.other	Mercats financers -- Xina
dc.title	On Chinese stock markets: How have they evolved along time?
dc.type	info:eu-repo/semantics/workingPaper
dc.subject.udc	336 - Finances. Banca. Moneda. Borsa
dc.embargo.terms	cap
dc.description.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

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