Detalle Publicación

Modelling stock market data in China: Crisis and Coronavirus

Autores: Cristofaro, L.; Gil Alaña, Luis Alberiko; Chen, Z. F.; Wanke, P.
Título de la revista: FINANCE RESEARCH LETTERS
ISSN: 1544-6123
Volumen: 41
Páginas: 101865
Fecha de publicación: 2021
Global financial markets experienced distinct collapses during the global financial crisis in 2008 and the COVID-19 pandemic in 2020, and similarity in the underlying nature is still a hot topic to be investigated. This paper investigates their degree of persistence in order to detect whether the shocks affecting them have temporary or permanent effects by examining the closing prices of the Shanghai and Shenzhen Composite Indices from 1991 to 2020. The results before the coronavirus indicate large degrees of persistence with shocks having permanent effects, while during the coronavirus the results indicate a mean reversion with shocks having temporary effects.