Sector connectedness in the Chinese stock markets

This paper reports the statistics of extreme values and positions of extreme events in Chinese stock markets. An extreme event is defined as the event exceeding a certain threshold of normalized logarithmic return. Extreme values follow a piecewise function or a power law distribution determined by the threshold due to a crossover. Extreme positions are studied by return intervals of extreme events, and it is found that return intervals yield a stretched exponential function. According to correlation analysis, extreme values and return intervals are weakly correlated and the correlation decreases with increasing threshold. No long-term cross-correlation exists by using the detrended cross-correlation analysis (DCCA) method. We successfully introduce a modification specific to the correlation and derive the joint cumulative distribution of extreme values and return intervals at 95% confidence level.

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Overconfidence and anomalies in Chinese stock markets: a literature review

2020 Management Science Informatization and Economic Innovation Development Conference (MSIEID) ◽

10.1109/msieid52046.2020.00068 ◽

2020 ◽

Author(s):

Zhenjie Gong

Keyword(s):

Literature Review ◽

Stock Markets ◽

Chinese Stock Markets

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Long memory revisit in Chinese stock markets: Based on GARCH-class models and multiscale analysis

Economic Modelling ◽

10.1016/j.econmod.2012.11.037 ◽

2013 ◽

Vol 31 ◽

pp. 265-275 ◽

Cited By ~ 11

Author(s):

Xiaoqiang Lin ◽

Fangyu Fei

Keyword(s):

Long Memory ◽

Stock Markets ◽

Multiscale Analysis ◽

Chinese Stock Markets ◽

Class Models

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Integrating A- and B-Share Markets in China: The Effects of Regulatory Policy Changes on Market Efficiency

Review of Pacific Basin Financial Markets and Policies ◽

10.1142/s0219091507001082 ◽

2007 ◽

Vol 10 (03) ◽

pp. 309-328 ◽

Cited By ~ 12

Author(s):

Changjiang Lu ◽

Kemin Wang ◽

Haiwei Chen ◽

James Chong

Keyword(s):

Market Efficiency ◽

Stock Markets ◽

Detrimental Effect ◽

Regulatory Policy ◽

International Markets ◽

Policy Changes ◽

Foreign Investors ◽

Price Differential ◽

Chinese Stock Markets ◽

A Share

We investigate the effectiveness of two recent regulatory policy changes on market efficiency in the Chinese A- and B-share markets. Overall, the opening of the B-share market to domestic Chinese investors and the limited opening of the A-share market to foreign investors increase market efficiency. The opening of the B-share market significantly reduces the price differential between A- and B-shares. Furthermore, there is no longer feedback in returns between the two markets in recent years. Our results provide evidence that there is no detrimental effect to market efficiency by integrating Chinese investors to international markets and foreign investors to the Chinese stock markets.

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