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

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).KeywordsStock MarketStock ReturnGARCH ModelConditional VolatilityChinese Stock MarketThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.