Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
dc.contributor.author | Da Veiga, Bernardo | |
dc.contributor.author | Chan, Felix | |
dc.contributor.author | McAleer, M. | |
dc.date.accessioned | 2017-01-30T13:29:05Z | |
dc.date.available | 2017-01-30T13:29:05Z | |
dc.date.created | 2010-05-18T20:03:05Z | |
dc.date.issued | 2008 | |
dc.identifier.citation | da Veiga, Bernardo and Chan, Felix and McAleer, Michael. 2008. Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares. Pacific Basin Finance Journal. 16 (4): pp. 453-475. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/32080 | |
dc.identifier.doi | 10.1016/j.pacfin.2007.08.001 | |
dc.description.abstract |
This paper analyses the time-varying conditional correlations between Chinese A and B share returns using the Dynamic Conditional Correlation (DCC) model of Engle [Engle, R.F. (2002), "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models", Journal of Business and Economic Statistics, 20, 339-350.]. The results show that the conditional correlations increased substantially following the B share market reform, whereby Chinese investors were permitted to purchase B shares. However, this increase in correlations was found to have begun well before the B share market reform. This result has significant implication relating to the structure of the information flow between the markets for the two classes of shares. Value-at-Risk (VaR) threshold forecasts are used to analyse the importance of accommodating dynamic conditional correlations between Chinese A and B shares, and thus reflects the impact of the changes in information flow on the risk evaluation of a diversified portfolio. The competing VaR forecasts are analysed using the Unconditional Coverage, Serial Independence and Conditional Coverage tests of Christoffersen [Christoffersen (1998), "Evaluating Interval Forecasts", International Economic Review, 39, 841-862], and the Time Until First Failure Test of Kupiec [Kupiec, P.H., (1995), "Techniques for Verifying the Accuracy of Risk Measurements Models", Journal of Derivatives, 73-84]. The results offer mild support for the DCC model over its constant conditional correlation counterpart. | |
dc.publisher | Elsevier BV | |
dc.subject | VaR | |
dc.subject | Chinese stock markets | |
dc.subject | Value-at-Risk | |
dc.subject | Dynamic conditional correlation | |
dc.subject | China A and B shares | |
dc.subject | Market reform | |
dc.title | Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares | |
dc.type | Journal Article | |
dcterms.source.volume | 16 | |
dcterms.source.startPage | 453 | |
dcterms.source.endPage | 475 | |
dcterms.source.issn | 0927538X | |
dcterms.source.title | Pacific Basin Finance Journal | |
curtin.note |
The link to the journal’s home page is: | |
curtin.accessStatus | Open access | |
curtin.faculty | Curtin Business School | |
curtin.faculty | School of Economics and Finance |