This paper employs a time-varying framework to examine the informational efficiency of China's A-share and B … transmission in return volatility. We find that the A-share markets perform better than the B-share markets in terms of efficiency …-improving; significant leverage effects exist in three of four markets but with different signs; and no weak and strong volatility …

Purpose – The purpose of this paper is to examine whether realized volatility can provide additional information on the … volatility process to the GARCH and EGARCH model, based on the data of Chinese stock market. Design/methodology/approach – The … realized volatility is defined as the squared overnight return plus the close to open squared return of the period between the …

. China is behind it all. Right now, the Chinese have no brands or commercial framework, but what about tomorrow? …