Article ID Journal Published Year Pages File Type
5054216 Economic Modelling 2013 10 Pages PDF
Abstract
► We extract the Chinese A and B-share markets' long-run volatility. ► We make use of the Mixed Data Sampling (MIDAS) methodology. ► The Chinese A-share market presents speculative characteristics up to 2001. ► The B-share market shows speculative characteristics after 2001. ► Long-run stock volatility is sometimes explained by inflation, not by real activity.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach
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