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.accessioned
2024-12-10T13:37:15Z
dc.date.available
2016-09-30T15:37:56Z
dc.date.available
2024-12-10T13:37:15Z
dc.date.created
2016-07-28
dc.identifier.uri
http://hdl.handle.net/2072/267085
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
eng
dc.format.extent
17 p.
cat
dc.publisher
Universitat Rovira i Virgili. Departament d'Economia
cat
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
cat
dc.title
On Chinese stock markets: How have they evolved along time?
cat
dc.type
info:eu-repo/semantics/workingPaper
cat
