Persistence characteristics of the Chinese stock markets

Los, Cornelis A.; Yu, Bing

doi:10.1016/j.irfa.2006.04.001

Cited by 59 publications

(17 citation statements)

References 27 publications

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“…Similar conclusion came from a recent study by Onali and Goddard (2011), in which authors analyzed 8 stock market indexes and showed that there was a strong evidence of long-range dependence for the emerging central European stock markets but there was little or no evidence of long-range dependence for the developed markets with the largest capitalizations such as US and UK. Los and Yu (2008) analyzed several Chinese stock markets covering a period from 1992 to 2005. Authors showed that there is an improvement in market efficiency over time.…”

Section: Long-range Dependence Analysis By Hurst Exponentmentioning

confidence: 99%

Dynamic efficiency of stock markets and exchange rates

Şensoy

Tabak

2016

International Review of Financial Analysis

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Section: Long-range Dependence Analysis By Hurst Exponentmentioning

confidence: 99%

Dynamic efficiency of stock markets and exchange rates

Şensoy

Tabak

2016

International Review of Financial Analysis

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“…Mainland China: Huang et al (2000) report cointegration linkages between Shanghai and Shenzen stock exchange market and their significant feedback relationships from 1992 to 1997. Los and Yu (2008) apply advance signal processing aimed at detecting the degree of persistence, stationarity, and independence of Chinese A-and B-share Shanghai and Shenzen mainland markets in 1990-2005. The gradual improvement found in these characteristics is in line with the process of deregulation.…”

Section: Application To Chinamentioning

confidence: 99%

Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives

Babecký

Komarek

Komarkova

2013

Natl. Inst. econ. rev.

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Interest in examining the financial linkages of economies has increased in the wake of the 2008/9 global financial crisis. Applying the concepts of beta-and sigma-convergence of stock market returns, we assess changes over time in the degree of stock market integration of Russia and China with each other, as well as with respect to the United States, the Euro Area, and Japan. Our analysis is based on national and sectoral data spanning the period September 1995 to October 2010. Overall, we find evidence for gradually increasing convergence of stock market returns after the 1997 Asian financial crisis and the 1998 Russian financial crisis. Following a major disruption caused by the 2008/9 global financial crisis, the process of stock market return convergence resumes between Russia and China, as well as with world markets. Notably, the episode of sigma-divergence from the 2008/9 crisis is stronger for China than for Russia. We also find that the process of stock market return convergence and the impact of the recent crisis have not been uniform at the sectoral level, suggesting the potential for diversification of risk across sectors.

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“…Kyaw, Los, and Zong (2006) also utilize wavelet analysis to estimate the degree of fractional differencing (or, equivalently, the Hurst exponent) in Latin American stock and currency returns, and to conduct a wavelet-based multi-resolution analysis of the sample of stock returns. As other examples, Los and Yu (2008) utilize wavelets to estimate dependence in Chinese stock markets, finding evidence of greater persistence prior to financial deregulation; and Karuppiah and Los (2005) utilize wavelets to analyze dependence in Asian foreign exchange rates, finding evidence of dependence in the form of antipersistence.…”

Section: Introductionmentioning

confidence: 99%

Fractional Integration in Commodity Futures Returns

Elder

Jin

2009

The Financial Review

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We reexamine commodity futures returns for evidence of fractional integration utilizing two estimators based on wavelets. We summarize basic wavelet methods for signal processing and decompose commodity futures returns by wavelet scale. We find the evidence for long memory is not conclusive based on visual inspection of the wavelet decomposition, but formal statistical tests suggest evidence of long memory, in the form of antipersistence, in about half of agricultural commodity futures. We find little evidence of long memory in metal futures. Our results are useful in interpreting previous disparate findings based on frequency domain estimators. Copyright (c) 2009, The Eastern Finance Association.

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Persistence characteristics of the Chinese stock markets

Cited by 59 publications

References 27 publications

Dynamic efficiency of stock markets and exchange rates

Dynamic efficiency of stock markets and exchange rates

Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives

Fractional Integration in Commodity Futures Returns

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