One country, two systems? The heavy-tailedness of Chinese A- and H- share markets

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One country, two systems? The heavy-tailedness of Chinese A- and H- share markets. / Chen, Zhimin; Ibragimov, Rustam.

In: Emerging Markets Review, Vol. 38, 03.2019, p. 115-141.

Research output: Contribution to journal › Article › peer-review

BibTeX

@article{5e2e03db120549fc83ae60d69b5c1dd7,

title = "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets",

abstract = "Chinese A- and H– share markets operate in different institutional environments (emerging/developing v.s. developed) and thus may have different tail risk properties. This paper focuses on the analysis of heavy-tailedness properties of these two markets using recently developed robust inference methods. The equality of tail indices of returns for A and H dual-listed companies cannot be rejected, and some A- and H– share returns may have infinite second moments. Their heavy-tailedness properties did not change significantly with respect to the 2008 financial crisis and the date when the corresponding company starts to be dual-listed.",

keywords = "A- and H-share markets, China, Crises, Emerging markets, Financial returns, Heavy-tailedness",

author = "Zhimin Chen and Rustam Ibragimov",

note = "Publisher Copyright: {\textcopyright} 2018 Elsevier B.V.",

year = "2019",

month = mar,

doi = "10.1016/j.ememar.2018.11.007",

language = "English",

volume = "38",

pages = "115--141",

journal = "Emerging Markets Review",

issn = "1566-0141",

publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - One country, two systems? The heavy-tailedness of Chinese A- and H- share markets

AU - Chen, Zhimin

AU - Ibragimov, Rustam

PY - 2019/3

Y1 - 2019/3

N2 - Chinese A- and H– share markets operate in different institutional environments (emerging/developing v.s. developed) and thus may have different tail risk properties. This paper focuses on the analysis of heavy-tailedness properties of these two markets using recently developed robust inference methods. The equality of tail indices of returns for A and H dual-listed companies cannot be rejected, and some A- and H– share returns may have infinite second moments. Their heavy-tailedness properties did not change significantly with respect to the 2008 financial crisis and the date when the corresponding company starts to be dual-listed.

AB - Chinese A- and H– share markets operate in different institutional environments (emerging/developing v.s. developed) and thus may have different tail risk properties. This paper focuses on the analysis of heavy-tailedness properties of these two markets using recently developed robust inference methods. The equality of tail indices of returns for A and H dual-listed companies cannot be rejected, and some A- and H– share returns may have infinite second moments. Their heavy-tailedness properties did not change significantly with respect to the 2008 financial crisis and the date when the corresponding company starts to be dual-listed.

KW - A- and H-share markets

KW - China

KW - Crises

KW - Emerging markets

KW - Financial returns

KW - Heavy-tailedness

UR - http://www.scopus.com/inward/record.url?scp=85059006973&partnerID=8YFLogxK

U2 - 10.1016/j.ememar.2018.11.007

DO - 10.1016/j.ememar.2018.11.007

M3 - Article

AN - SCOPUS:85059006973

VL - 38

SP - 115

EP - 141

JO - Emerging Markets Review

JF - Emerging Markets Review

SN - 1566-0141

ER -

ID: 94066465