Time Travel Through Asian and Chinese Market Indices

Abstract

Since the early days of Dow Jones Averages indexing has raised complexity. The lack of standard theoretical framework for index building, and the heterogeneity of empirical studies regarding their statistical properties, make comparisons an issue. The scenario remains the same in Asian-Pacific-Chinese (APC) markets, and literature regarding their statistical properties is scarce. This article aims to contribute that literature in two ways: first, analyzing the complete historical evolution of 20 APC stock markets, shedding light on their statistical properties in three periods; second, it compares these results and risk adjusted return performance within APC market indices and with the most important developed markets. According to our findings, generally higher risk is rewarded with higher returns, three groups of risk can be established, and Chinese markets are found to be exceptional, with very high kurtosis and positive skewness.