Structural break in different stock index markets in China

This paper first presents a two-stage change point estimation approach in the framework of online analysis to detect the Chinese stock market abrupt variations during the period from 4 January 2005 to 10 December 2021. As a check, the pruned exact linear time (PELT) algorithm method is applied to de...

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Vydáno v:The North American journal of economics and finance Ročník 65; s. 101882
Hlavní autoři: Li, Boyan, Diao, Xundi
Médium: Journal Article
Jazyk:angličtina
Vydáno: Elsevier Inc 01.03.2023
Témata:
Change point
Pruned exact linear time algorithm
Significant events
Two-stage estimation method
Pruned exact linear time algorithm
C52
C22
Two-stage estimation method
C13
G15
Change point
Significant events
ISSN:1062-9408, 1879-0860
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Popis
Shrnutí:This paper first presents a two-stage change point estimation approach in the framework of online analysis to detect the Chinese stock market abrupt variations during the period from 4 January 2005 to 10 December 2021. As a check, the pruned exact linear time (PELT) algorithm method is applied to detect structural changes in the framework of offline analysis in terms of all data. We select four representative indices in Chinese markets to find some important time-stamp tags. The results show that all indices can detect some common events, while the small-cap and small-mid-cap indices can identify local risks such as China’s market freezing. Besides, we find some events such as the global financial crisis and China’s market freezing can incur the inverse anomaly with higher volatility in lower reward. •Adopt two-stage change point estimation method to trace the structural change online.•Use pruned exact linear time algorithm to detect multiple change points offline.•Four representative indices in Chinese markets are utilized for empirical analysis.•The small-cap and small-mid-cap indices can identify China’s market freezing.•Some financial events incur higher volatility with lower reward.
ISSN:1062-9408
1879-0860
DOI:10.1016/j.najef.2023.101882