TY - JOUR
T1 - Examining stock volatility in the segmented chinese stock markets
T2 - A swarch approach
AU - Zhuo, Qiao
AU - Qiao, Weiwei
AU - Wing-Keung, Wong
N1 - Copyright:
Copyright 2010 Elsevier B.V., All rights reserved.
PY - 2010
Y1 - 2010
N2 - 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.
AB - 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.
KW - Chinese stock markets
KW - Market segmentation
KW - Markov-switching arch
KW - Volatility
KW - Volatility spillover
UR - http://www.scopus.com/inward/record.url?scp=77958120653&partnerID=8YFLogxK
U2 - 10.1080/1226508X.2010.513138
DO - 10.1080/1226508X.2010.513138
M3 - Journal article
AN - SCOPUS:77958120653
SN - 1226-508X
VL - 39
SP - 225
EP - 246
JO - Global Economic Review
JF - Global Economic Review
IS - 3
ER -