Structural break in different stock index markets in China |
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| Institution: | 1. School of Finance, Nanjing Agricultural University, Weigang 1#, Nanjing 210095, PR China;2. School of Economics and Management, Southeast University, Sipailou 2#, Nanjing 210096, PR China;1. School of Economics, University of Seoul, 163 Seoulsiripdae-ro, Dongdaemun-gu, Seoul 02504, South Korea;2. Department of International Finance, Hankuk University of Foreign Studies, 81, Oedae-ro, Cheoin-gu, Yongin-si, Gyeonggi-do 17035, South Korea;1. College of Economics and Management, Shandong University of Science and Technology, Qingdao 266590, China;2. School of Business Administration, Northeastern University, Shenyang 110169, China;1. Institute of Finance, Jinan University, Guangzhou 510632, China;2. Guangzhou Institute of International Finance, Guangzhou University, Guangzhou 510006, China |
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| Abstract: | 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. |
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| Keywords: | Change point Two-stage estimation method Pruned exact linear time algorithm Significant events |
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