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Persistent link: https://www.econbiz.de/10004998593
document a well-developed log-periodic power-law antibubble in China's stock market, which started in August 2001. We argue … that the current stock market antibubble is sustained by a contemporary active unsustainable real-estate bubble in China …
Persistent link: https://www.econbiz.de/10010873440
This staff report on People’s Republic of China 2013 Article IV Consultation highlights macroeconomic developments … and outlook. China has maintained robust growth since the global crisis, but the heavy reliance on credit and investment …
Persistent link: https://www.econbiz.de/10011244201
introduce meaningful stock-market reform. China has largely avoided major policy blunders in its 25 years of economic reforms …
Persistent link: https://www.econbiz.de/10009250367
We compare changes of mean and variance of returns as two regulations have changed between 1992 and 2007 in the Chinese exchanges of Shanghai and Shenzhen. Specifically, we compare the implementation of a ±10% daily return limit vs. the absence of any limit, and the effect of allowing local and...
Persistent link: https://www.econbiz.de/10008751497
emerging stock markets of China. Results show that the issues with a high bonus ratio (number of bonus shares in the issue …
Persistent link: https://www.econbiz.de/10005713297
We use structural VAR models with short-run restrictions to analyze the potential transmission of China’s monetary … by China’s monetary policy, even though the effect is modest. The impact of a monetary expansion in China is significant … in both China and abroad, which in turn shows up in the foreign equity market. The results provide evidence of China …
Persistent link: https://www.econbiz.de/10008509920
A long literature in empirical finance has isolated both a value and a small-capitalization effect in asset pricing. This study confirms the existence of these style effects both in new types of equity indexes and in the stocks of Chinese companies traded in international markets. We then...
Persistent link: https://www.econbiz.de/10008536809
Persistent link: https://www.econbiz.de/10005490471
The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...
Persistent link: https://www.econbiz.de/10005652745