UM
A Markov regime-switching model of stock return volatility: Evidence from Chinese markets
Chiang,Thomas C.1; Qiao,Zhuo2; Wong,Wing Keung3
2010
AbstractThis chapter presents a regime switching GARCH model (RS-GARCH) to examine the volatile behavior and volatility linkages among the four major segmented Chinese stock indices. We find evidence of a regime shift in the volatility of the four markets, and the RS-GARCH model appears to outperform the single regime GARCH model. The evidence suggests that B-share markets are more volatile and shift more frequently between high- and low-volatility states. B-share markets are found to be more sensitive to international shocks, while A-share markets seem immune to international spillovers of volatility. Also, volatility linkages among the four segmented markets are regime-dependent.
ISBN9780230295216;9780230283640;
DOI10.1057/9780230295216_3
URLView the original
Pages49-73
Language英语
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Document TypeBook
CollectionUniversity of Macau
Affiliation1.Drexel University,,United States
2.University of Macau,,Macao
3.Department of Economics,Institute for Computational Mathematics,Hong Kong Baptist University,,Hong Kong
Recommended Citation
GB/T 7714
Chiang,Thomas C.,Qiao,Zhuo,Wong,Wing Keung. A Markov regime-switching model of stock return volatility: Evidence from Chinese markets[M],2010.
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