Persistence Characteristics of the Chinese Stock Markets

Informed trading and liquidity in the Shanghai Stock Exchange

“…In short, our results imply that liquidity provision on both SHSE and SEHK is determined by the same set of variables as on specialist-based markets such as NYSE. Also, the dynamics of duration, volume and volatility in SHSE are similar to those of SEHK and NYSE, which are matured and developed, is consistent with the findings of Los and Yu (2008) that Chinese stock markets have become more efficient after deregulations.…”

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

“…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.…”

Modeling the distribution of extreme returns in the Chinese stock market

“…The Chinese stock market has thus been extensively studied in the finance literature in recent years. For example, Xu (2000) studies the microstructure of the Chinese stock market; few studies, including Eun and Huang (2007) and Chan et al (2006), consider the asset pricing in the Chinese stock market; Los and Yu (2008) and Zhu (2006) study the stock price and return properties in the Chinese stock market; the anomalies in the Chinese stock market are considered in Mookerjee and Yu (1999), and Naughton et al (2008) study the trading strategies based on A-and B-share market segmentation.…”