ABSTRACT We investigate the realized volatility forecast of stock indices under the structural breaks. We utilize a pure multiple mean break model to identify the possibility of structural breaks in the daily realized volatility series by employing the intraday high‐frequency data of the...

We investigate the properties of the realized volatility in Chinese stock markets by employing the high-frequency data of Shanghai Stock Exchange Composite Index and four individual stocks from Shanghai Stock Exchange and Shenzhen Stock Exchange, and find that the volatility exhibits the...

Purpose – The purpose of this paper is to present a nonparametric comparative study on the HCMS consumption of urban and rural households in China. Design/methodology/approach – This paper applies the panel data for China's thirty provinces in 1991-2007 as a sample and presents a local...

This paper assesses the effectiveness and its duration of joint intervention on the yen/US dollar exchange rate by utilizing the intervention analysis model and employing the data for the period from 15 August 1996 to 6 January 1999 that are released from Reuters. The results suggest that there...

The ratio, Penn effect and behavioral equilibrium exchange rate (BEER) are used to assess the level of the bilateral real exchange rate (RER) of the Chinese RMB against the US dollar in 1980–2012. The statistical indexes and economic meaning indicate that the findings from the BEER and ratio...

We examine the distribution characteristics of stock market liquidity by employing the generalized additive models for location, scale and shape (GAMLSS) model and three-minute frequency data from Chinese stock markets. We find that the BCPE distribution within the GAMLSS framework fits the...

The ratio, Penn effect and behavioral equilibrium exchange rate (BEER) are used to assess the level of the bilateral real exchange rate of the Chinese RMB against the US dollar in 1980–2012. The statistical indexes and economic meaning indicate that the findings from the BEER and ratio models...

This paper is concerned with some corporate governance issues related to newly listed firms in China based on a sample of 329 firms commencing listing on Shanghai Stock Exchange (SHSE) and Shenzhen Stock exchange (SZSE) during the period from 1998 to 2000. We first investigate the impact of...

This paper shows that optimal policy and consistent policy outcomes require the use of control-theory and game-theory solution techniques. While optimal policy and consistent policy often produce different outcomes even in a one-period model, we analyze consistent policy and its outcome in a...