“Downside Risk in the Chinese Stock Market – Has it Fundamentally Changed?”

“Downside Risk in the Chinese Stock Market – Has it Fundamentally Changed?”

Eric Ghysels, Hanwei Liu

CEPR Discussion Paper 12180

The purpose of the paper by Ghysels and Liu is to characterize fundamental changes in the downside risk of the Chinese stock market and discern what the causes of these changes are. Furthermore, they provide a synopsis of several key events that took place during the sample period (June 1995 – December 2016) and present an overview of the structure of the two stock exchanges in mainland China, namely the Shanghai and Shenzhen stock exchange.