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First and second order instability of the Shanghai and Shenzhen share price indices


Yan, YH and Felmingham, BS, First and second order instability of the Shanghai and Shenzhen share price indices, Applied Economics Letters, 13, (9) pp. 605-608. ISSN 1350-4851 (2006) [Refereed Article]

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Copyright 2006 Taylor & Francis

DOI: doi:10.1080/13504850500424918


First 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.

Item Details

Item Type:Refereed Article
Research Division:Economics
Research Group:Econometrics
Research Field:Time-series analysis
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Macroeconomics not elsewhere classified
UTAS Author:Yan, YH (Ms Yong Yan)
UTAS Author:Felmingham, BS (Dr Bruce Felmingham)
ID Code:43397
Year Published:2006
Web of Science® Times Cited:1
Deposited By:Economics and Finance
Deposited On:2006-08-01
Last Modified:2012-11-06

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