<title>Abstract</title> Many researchers have investigated the existence of day-of-the-week effects in different financial markets. However, they have usually adopted a parametric approach, which is known to have a few limitations. This paper adopts a non-parametric stochastic dominance (SD) approach to...

This study adopts the SWARCH model to examine the volatile behavior and volatility linkages among the four major segmented Chinese stock indices. We find strong evidence of a regime shift in the volatility of the four markets, and the SWARCH model appears to outperform standard generalized...

This study adopts the Markov-switching ARCH (hereafter SWARCH) model to examine the volatility nature and volatility linkages of four segmented Chinese stock indices (SHA, SZA, SHB, and SZB). Our empirical findings are consistent with the following notions. First, we find strong evidence of...