Structural Breaks in Volatility: The Case of Chinese Stock Returns

Authors

Jinlan Ni, University of Nebraska at OmahaFollow
Mark E. Wohar, University of Nebraska at Omaha
Beichen Wang, Hong Kong University of Science and Technology

Author ORCID Identifier

Jinlan Ni

Document Type

Article

Publication Date

4-7-2016

Publication Title

The Chinese Economy

Volume

49

Issue

2

First Page

81

Last Page

93

Abstract

This article tests for periodic breaks in the unconditional variance of stock return data on two Chinese stock return market indexes. Using the modified ICSS algorithm, we observe three breaks in the Shanghai Stock Exchange composite index and Shenzhen Stock Exchange composite index series. We document the policy changes related to the Chinese stock market and explain that the Chinese stock market is largely influenced by government policy.

Comments

This is an Accepted Manuscript of an article published by Taylor & Francis in THE CHINESE ECONOMY on 7 aPRIL 2016, available online: https://www.tandfonline.com/doi/abs/10.1080/10971475.2016.1143302.

Recommended Citation

Ni, Jinlan; Wohar, Mark E.; and Wang, Beichen, "Structural Breaks in Volatility: The Case of Chinese Stock Returns" (2016). Economics Faculty Publications. 48.
https://digitalcommons.unomaha.edu/econrealestatefacpub/48