On the Drivers of Persistence in Stock Market Volatility in China

30 Pages Posted: 23 Jan 2020

See all articles by Julia Darby

Julia Darby

University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics

Jinkai Zhang

University of Strathclyde

Date Written: December 30, 2019

Abstract

We demonstrate that volatility in China’s stock markets tends to be higher and persist for longer than is typical in ‘western markets’, both at the level of composite market indices, and at company level. We provide persuasive arguments and evidence in support of the view that volatility persistence in part reflects the opacity of the information environment the majority of investors operate within. We go on to show that continuing reforms of state ownership and control, along with growth in the proportion of shares held by active institutional investors, look to be promising ways to mitigate the persistence in China’s stock market volatility going forward.

Keywords: Volatility Persistence, Information Environment, Institutional Investors

JEL Classification: G11, G12, G14, G28

Suggested Citation

Darby, Julia and ZHANG, JINKAI, On the Drivers of Persistence in Stock Market Volatility in China (December 30, 2019). Available at SSRN: https://ssrn.com/abstract=3511723 or http://dx.doi.org/10.2139/ssrn.3511723

Julia Darby

University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics ( email )

Sir William Duncan Building
130 Rottenrow
Glasgow, G4 0GE
United Kingdom

HOME PAGE: http://www.economics.strath.ac.uk/julia/

JINKAI ZHANG (Contact Author)

University of Strathclyde ( email )

100 Cathedral Street
Glasgow G4 0LN
United Kingdom

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