File(s) under permanent embargo
First and second order instability of the Shanghai and Shenzhen share price indices
journal contribution
posted on 2023-05-16, 18:54 authored by Yan, YH, Felmingham, BSFirst and second order instability tests are applied to China's two major share market price indices (SPIs), Shanghai share market price index (SES) and Shenzhen share market price index (SZS) using daily data from 2 January 1992 to 16 July 2004. First order instability is synonymous with non stationarity and second order instability with structural breaks. Applying procedures developed by Perron (1997) and Zivot and Andrews (1992), it is found that both share price indices are unstable in the first and second order. The Shanghai series breaks in December 1999 and Shenzhen in May 1999. Existence of the share A (domestic listing) and share B (foreign listing) seem to buffer both markets against the worst effects of the Asian Crisis and September 11 attack. These shocks were apparently absorbed by the foreign listings of shares.
History
Publication title
Applied Economics LettersVolume
13Issue
9Pagination
605-608ISSN
1350-4851Department/School
TSBEPublisher
RoutledgePlace of publication
United KingdomRights statement
Copyright 2006 Taylor & FrancisRepository Status
- Restricted