We revisit the weak-form efficiency of China's stock markets by examining its changing behaviour over the entire history of the Shanghai and Shenzhen Stock Exchanges. The Kalman Filter technique is applied to the system consisting of a time-varying AR model and an asymmetric TGARCH equation. The...

This paper investigates China's economic growth by performing multiple-break unit root tests on the data of national and sectoral output and output per worker to identify their steady-state and transitional growth paths. The evidence generated suggests that the growth behaviour of the Chinese...

type="main" xml:id="sjpe12053-abs-0001" <title type="main">Abstract</title> <p>This paper documents new results that the ability of structural breaks to explain away non-stationary long memory in the forward premium weakens considerably with higher-frequency data. For daily data, removing structural breaks does not make...</p>