کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5085365 1477951 2008 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Persistence characteristics of the Chinese stock markets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Persistence characteristics of the Chinese stock markets
چکیده انگلیسی
Using advanced signal processing, this paper identifies the lack of ergodicity, stationarity, independence and the degree of persistence of the Shanghai (SHI) stock market and Shenzhen A shares (SZI) and B shares (SZBI), before and after the various deregulations and reregulations. Their lack of stationarity and ergodicity are ascribed to (1) the initial interventions in these stock markets by the Chinese government by imposing various daily price change limits, and (2) the changing trading styles, after the Chinese government left these equity markets to develop by themselves. The SHI, SZI, and SZBI are moderately persistent with Hurst exponents slightly greater than the Fickian 0.5 of the Geometric Brownian Motion. These stock markets were considerably more persistent before the deregulations, but they now behave more like Geometric Brownian Motions, i.e., efficiently. Thus, the Chinese stock markets are gradually and properly being integrated into one Chinese stock market. Our results are consistent with similar empirical findings from Latin American, European, and other Asian emerging financial markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 17, Issue 1, 2008, Pages 64-82
نویسندگان
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