This article investigates the partial adjustment process with asymmetries on Chinese stock index returns and volatilities. Rolling sample windows method is proper to capture evolving asymmetric behaviours of Chinese emerging stock market. The empirical evidence shows that index returns do have...

This study utilizes tests based on ranks and signs suggested by Wright (2000) together with the traditional variance ratio test to examine the behaviour of some Chinese stock indices. The results have shown that the null hypothesis of martingale difference behaviour of the Chinese index returns...

This article applies duration dependence tests to analyse the rational speculative bubbles in Chinese stock market. The results show that the probability of ending a run of positive excess returns decreases with the length of the run. Together with the evidence of autocorrelation and...

Split share structure reform brings about fundamental changes to the Chinese stock market. This article compares the market efficiency before and after this reform. The generalized spectral derivative method is applied, which can capture linear and nonlinear serial dependence, and has stronger...

The purpose of this article is to contribute to the research on informationally linked markets by investigating the relationships between the Chinese copper futures market and its London counterparts. There is a long run relationship between the Shanghai Futures Exchanges (SFE) with London...