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Examining Stock Volatility in the Segmented Chinese Stock Markets: A SWARCH Approach
ZHUO QIAO,WEIWEI QIAO,Wing-Keung Wong 연세대학교 동서문제연구원 2010 Global economic review Vol.39 No.3
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.
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ZHUO QIAO,WEIWEI QIAO,Wing-Keung Wong 연세대학교 동서문제연구원 2011 Global economic review Vol.40 No.3
Many researchers have investigated the existence of day-of-the-week effects in different financial markets. However, they have usually adopted a parametric approach, which is known to have a few limitations. This paper adopts a non-parametric stochastic dominance (SD) approach to examine the day-of-the-week effects in Chinese stock markets. In contrast to the extensive evidence of day-of-the-week effects disclosed by a parametric mean-variance (MV) approach, our SD tests show that the day-of-the-week effect is much weaker. We find that there are only Wednesday effects in Chinese A-share and B-share stock markets.
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