Book chapter
A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets
Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
01 Jan 2010
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).
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2 citations in Scopus
Details
- Title
- A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets
- Creators
- Thomas C. Chiang - Drexel UniversityZhuo Qiao - University of MacauWing-Keung Wong - Department of Economics
- Publication Details
- Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
- Publisher
- Palgrave Macmillan UK; London
- Resource Type
- Book chapter
- Language
- English
- Academic Unit
- [Retired Faculty]
- Scopus ID
- 2-s2.0-85016745017
- Other Identifier
- 991019173773304721