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A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets
Thomas C. Chiang; Zhuo Qiao; Wing-Keung Wong
2010-01
Source PublicationNonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Author of SourceGregoriou, Greg N., Pascalau, Razvan
Publication PlaceLondon
PublisherPalgrave Macmillan UK
Pages49-73
Abstract

As a mechanism for the development of the Chinese stock markets, issues of Chinese stocks are mainly divided into A-shares (SHA and SZA) and B-shares (SHB and SZB); both A-shares and B-shares are listed on the Shanghai Stock Exchange (SHSE) and the Shenzhen Stock Exchange (SZSE) of mainland China.1 The Chinese government also allows some companies to issue H, red-chip, N, and S shares in accordance with different listing locations and investors. Among these types of shares, H, red-chip, N, and S shares are traded on the Hong Kong Stock Exchange (HKSE), the New York Stock Exchange (NYSE), and the Singapore Stock Exchange (SSE).

KeywordStock Market Stock Return Garch Model Conditional Volatility Chinese Stock Market
DOIhttp:/doi.org/10.1057/9780230295216
URLView the original
Language英语
ISBN978-0-230-28364-0
Fulltext Access
Citation statistics
Document TypeBook chapter
Version1
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Recommended Citation
GB/T 7714
Thomas C. Chiang,Zhuo Qiao,Wing-Keung Wong. A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets[M]. 1. London:Palgrave Macmillan UK,2010:49-73.
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