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

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Title: One country, two systems? The heavy-tailedness of Chinese A- and H- share markets
Authors: Chen, Z
Ibragimov, R
Item Type: Journal Article
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.
Issue Date: 31-Mar-2019
Date of Acceptance: 9-Nov-2018
URI: http://hdl.handle.net/10044/1/67789
DOI: https://dx.doi.org/10.1016/j.ememar.2018.11.007
ISSN: 1566-0141
Publisher: Elsevier BV
Start Page: 115
End Page: 141
Journal / Book Title: Emerging Markets Review
Volume: 38
Copyright Statement: © 2019 Elsevier Ltd. All rights reserved. This manuscript is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence http://creativecommons.org/licenses/by-nc-nd/4.0/
Sponsor/Funder: Russian Science Foundation
Funder's Grant Number: 16-18-10432
Keywords: 1402 Applied Economics
Publication Status: Published
Online Publication Date: 2018-11-22
Appears in Collections:Imperial College Business School