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A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets

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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration

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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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Authors
  1. Thomas C. Chiang
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  2. Zhuo Qiao
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  3. Wing-Keung Wong
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Editor information

Editors and Affiliations

  1. State University of New York, Plattsburgh, USA

    Greg N. Gregoriou (Professor of Finance) & Razvan Pascalau (Assistant Professor of Economics) (Professor of Finance) &  (Assistant Professor of Economics)

  2. Research Associate EDHEC Business School, Nice, France

    Greg N. Gregoriou (Professor of Finance) (Professor of Finance)

Copyright information

© 2011 Thomas C. Chiang, Zhuo Qiao and Wing-Keung Wong

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Chiang, T.C., Qiao, Z., Wong, WK. (2011). A Markov Regime-Switching Model of Stock Return Volatility: Evidence from Chinese Markets. In: Gregoriou, G.N., Pascalau, R. (eds) Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration. Palgrave Macmillan, London. https://doi.org/10.1057/9780230295216_3

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