Examining Stock Volatility in the Segmented Chinese Stock Markets: A SWARCH Approach

References

• Abdel-khalik , A. R. , Wong , K. A. and Wu , A. 1999 . The information environment of China's A and B shares: can we make sense of the numbers? . International Journal of Accounting , 34 ( 4 ) : 467 – 628 .
   Google Scholar
• Akaike , H. 1976 . “ Canonical correlation analysis of time series and use of an information Criterion ” . In System Identification: Advance and Case Studies , Edited by: Mehra , R. K. and Lainioties , D. G. 27 – 96 . New York : Academic Press .
   Google Scholar
• Bollerslev , T. 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 327 .
   Web of Science ®Google Scholar
• Brooks , R. and Ragunathan , V. 2003 . Returns and volatility on the Chinese stock markets . Applied Financial Economics , 13 : 747 – 752 .
   Google Scholar
• Chakravarty , S. , Sarkar , A. and Wu , L. 1998 . Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares . Journal of International Financial Markets, Institutions and Money , 8 ( 3–4 ) : 325 – 356 .
   Google Scholar
• Chen , G. M. , Lee , B. S. and Rui , O. 2001 . A study of market segmentation due to foreign ownership restrictions in china's stock markets: A-share premiums or B-share discounts? . Journal of Financial Research , XXIV ( 1 ) : 133 – 155 .
   Google Scholar
• Chen , H. , Smyth , R. and Wong , W. K. 2008 . Is being a super-power more important than being your close neighbor? Effects of movements in the New Zealand and United States stock markets on movements in the Australian stock market . Applied Financial Economics , 18 ( 9 ) : 1 – 15 .
   Google Scholar
• Chui , A. and Kwok , C. 1998 . Cross-autocorrelation between A-shares and B-shares in the Chinese stock market . Journal of Financial Research , 21 : 247 – 254 .
   Google Scholar
• Diebold , F. X. 1986 . Modeling the persistence of conditional variance: a comment . Econometric Reviews , 5 : 51 – 56 .
   Google Scholar
• Edwards , S. and Susmel , R. 2001 . Volatility dependence and contagion in emerging equity markets . Journal of Development Economics , 66 : 505 – 532 .
   Web of Science ®Google Scholar
• Hamilton , J. D. 1989 . A new approach to the economic analysis of nonstationary time series and the business cycle . Econometrica , 57 : 357 – 384 .
   Web of Science ®Google Scholar
• Hamilton , J. D. and Susmel , R. 1994 . Autoregressive conditional heteroscedasticity and changes in regime . Journal of Econometrics , 64 : 307 – 333 .
   Web of Science ®Google Scholar
• Hansen , B. E. 1991 . Inference When a Nuisance Parameter is not Identified Under the Null Hypothesis , Rochester, NY : University of Rochester .
   Google Scholar
• Hansen , B. E. 1992 . The likelihood ratio test under non-standard conditions: testing the Markov trend model of GNP . Journal of Applied Econometrics , 7 : 61 – 82 .
   Web of Science ®Google Scholar
• Kim , Y. and Shin , J. 2000 . Interactions among China-related stocks? . Asian-Pacific Financial Markets , 7 : 97 – 115 .
   Google Scholar
• Lamoureux , C. G. and Lastrapes , W. D. 1990 . Persistence in variance, structural change and the GARCH model . Journal of Business and Economic Statistics , 8 : 225 – 234 .
   Web of Science ®Google Scholar
• Lean , H. H. and Wong , W. K. 2004 . Impact of other stock markets on China . China Journal of Finance , 6 : 81 – 108 .
   Google Scholar
• Lin , J. L. and Wu , C. S. 2003 Modeling China Stock Markets and International Linkages , Working Paper Taipei : Institute of Economics, Academia Sinica
   Google Scholar
• Ljung , G. and Box , G. 1978 . On a measure of lack of fit in time series models . Biometrika , 65 : 297 – 303 .
   Web of Science ®Google Scholar
• Mok , H. and Hui , Y. 1998 . Underpricing and aftermarket performance of IPOs in Shanghai, China . Pacific-Basin Finance Journal , 6 : 453 – 474 .
   Google Scholar
• Nelson , D. B. 1991 . Conditional heteroscedasticity in asset pricing: a new approach . Econometrica , 59 : 347 – 370 .
   Web of Science ®Google Scholar
• Qiao , Z. , Chiang , T. C. and Wong , W. K. 2008a . Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and Hong Kong stock market . Journal of International Financial Markets, Institutions & Money , 18 : 425 – 437 .
   Google Scholar
• Qiao , Z. , Li , Y. M. and Wong , W. K. 2008b . Policy change and lead-lag relations among China's segmented stock markets . Journal of Multinational Financial Management , 18 ( 3 ) : 276 – 289 .
   Google Scholar
• Qiao , Z. , Smyth , R. and Wong , W. K. 2008c . Volatility switching and regime interdependence between information technology stocks 1995–2005 . Global Finance Journal , 19 : 139 – 156 .
   Google Scholar
• Schwert , G. W. and Seguin , P. J. 1990 . Heteroskedasticity in stock returns . Journal of Finance , 45 : 1129 – 1155 .
   Web of Science ®Google Scholar
• Sjoo , B. and Zhang , J. 2000 . Market segmentation and information diffusion in China's stock markets . Journal of Multinational Financial Management , 10 : 421 – 438 .
   Google Scholar
• Su , D. and Fleisher , B. M. 1999 . Why does return volatility differ in Chinese stock markets? . Pacific-Basin Finance Journal , 7 ( 5 ) : 557 – 586 .
   Google Scholar
• Schwartz , G. 1978 . Estimating the dimension of a model . Annual Statistics , 6 : 461 – 464 .
   Web of Science ®Google Scholar
• Wang , S. S. and Firth , M. 2004 . Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world . Journal of International Financial Markets Institutions and Money , 14 ( 3 ) : 235 – 254 .
   Google Scholar
• Yang , J. 2003 . Market segmentation and information asymmetry in Chinese stock markets: a VAR analysis . Financial Review , 38 ( 4 ) : 591 – 609 .
   Google Scholar