Lo, W.C; Chan, W.S. - In: Multinational Finance Journal 4 (2000) 3-4, pp. 269-288
Using a modified outlier identification procedure by Chen and Liu (1993), this article studies the large shocks of the Greater China stock markets. We find that while large shocks are typical in all the markets and more outliers appear in the Chinese stock markets than in the other markets. We...