Imperial College London
Alternate

ProfessorRustamIbragimov

Business School

Professor of Finance and Econometrics
 
 
 
//

Contact

 

+44 (0)20 7594 9344i.rustam Website CV

 
 
//

Location

 

40953 Prince's GateSouth Kensington Campus

//

Summary

 

Publications

Citation

BibTex format

@article{Chen:2019:10.1016/j.ememar.2018.11.007,
author = {Chen, Z and Ibragimov, R},
doi = {10.1016/j.ememar.2018.11.007},
journal = {Emerging Markets Review},
pages = {115--141},
title = {One country, two systems? The heavy-tailedness of Chinese A- and H- share markets},
url = {http://dx.doi.org/10.1016/j.ememar.2018.11.007},
volume = {38},
year = {2019}
}
Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - 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.
AU  - Chen,Z
AU  - Ibragimov,R
DO  - 10.1016/j.ememar.2018.11.007
EP  - 141
PY  - 2019///
SN  - 1566-0141
SP  - 115
TI  - One country, two systems? The heavy-tailedness of Chinese A- and H- share markets
T2  - Emerging Markets Review
UR  - http://dx.doi.org/10.1016/j.ememar.2018.11.007
UR  - http://hdl.handle.net/10044/1/67789
VL  - 38
ER  -
Download