Analysis of Chinese Stock Market's Characteristics: Applying Time-Varying Cointegration ModelAnalysis of Chinese Stock Market's Characteristics: Applying Time-Varying Cointegration Model
- Other Titles
- Analysis of Chinese Stock Market's Characteristics: Applying Time-Varying Cointegration Model
- Authors
- 이종찬; 윤종철; 제상영
- Issue Date
- 2016
- Publisher
- 한국자료분석학회
- Keywords
- HuGangTong; Time-varying Cointegration; Instability; Arbitrage; Released restriction.
- Citation
- Journal of The Korean Data Analysis Society, v.18, no.5, pp.2375 - 2380
- Indexed
- KCI
- Journal Title
- Journal of The Korean Data Analysis Society
- Volume
- 18
- Number
- 5
- Start Page
- 2375
- End Page
- 2380
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/91321
- ISSN
- 1229-2354
- Abstract
- At the beginning of 2015, many economists concern about unstable stock markets in China. While shocks of the financial crisis in 2008 remain, they warn a new financial shock in China. ‘HuGangTong’ permits trade beyond market barriers which is established in 2014. Despite of imperfect sources of crisis, stock and real economy in China is separated. Moreover there are different limitations among similar markets. We apply a time-varying cointegration method focused on two similar markets. The model replaces eigenvector of traditional vector error correction model on time-varying Chevyshev polynomial. Its advantage is in likelihood ratio function which has higher power due to Chevyshev polynomial against fourier time smoothing function suggested by Park, Hahn (1999). The A-shares market is more affected by HuGangTong. But there is almost no impacts of HuGangTong in the B-shares market. The result implies that instability in the Chinese stock market can be interpreted as an increase in speculative liquidity.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - Graduate School > Department of Economics and Statistics > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.