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Examining stock volatility in the segmented Chinese stock markets: a SWARCH approach
Zhuo Qiao1; Weiwei Qiao2; Wing-Keung Wong3
2010-09-28
Source PublicationGlobal Economic Review
ISSN1226-508X
Volume39Issue:3Pages:225-246
Abstract

This study adopts the SWARCH model to examine the volatile behavior and volatility linkages among the four major segmented Chinese stock indices. We find strong evidence of a regime shift in the volatility of the four markets, and the SWARCH model appears to outperform standard generalized autoregressive conditional heteroskedasticity (GARCH) family models. The evidence suggests that, compared with the A-share markets, B-share markets stay in a high-volatility state longer and are more volatile and shift more frequently between high- and low-volatility states. In addition, the relative magnitude of the high-volatility compared with that of the low-volatility state in the B-share markets is much greater than the case in the two A-share markets. B-share markets are found to be more sensitive to international shocks, while A-share markets seem immune to international spillovers of volatility. Finally, analyses of the volatility spillover effect among the four stock markets indicate that the A-share markets play a dominant role in volatility in Chinese stock markets

KeywordMarkov-switching Arch Chinese Stock Markets Volatility Spillover Volatility Market Segmentation
DOIhttps://doi.org/10.1080/1226508X.2010.513138
Indexed BySSCI
WOS Research AreaBusiness & Economics
WOS SubjectEconomics
WOS IDWOS:000282577600001
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Cited Times [WOS]:2   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorZhuo Qiao
Affiliation1.Department of Finance and Business Economics, University of Macau, Macau, China, *
2.Department of Information Science and Technology, Wenzhou University, Wenzhou, China
3.Department of Economics, Hong Kong Baptist University, Hong Kong
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Zhuo Qiao,Weiwei Qiao,Wing-Keung Wong. Examining stock volatility in the segmented Chinese stock markets: a SWARCH approach[J]. Global Economic Review,2010,39(3):225-246.
APA Zhuo Qiao,Weiwei Qiao,&Wing-Keung Wong.(2010).Examining stock volatility in the segmented Chinese stock markets: a SWARCH approach.Global Economic Review,39(3),225-246.
MLA Zhuo Qiao,et al."Examining stock volatility in the segmented Chinese stock markets: a SWARCH approach".Global Economic Review 39.3(2010):225-246.
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