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- W4385484193 abstract "Basing on the features of emerging Chinese stock market, this article discusses whether sharply deteriorating liquidity propels the stock market into a “crisis” state and investigates the dynamic impacts of the market liquidity on volatility forecasting. We construct the Markov-switching (MS) liquidity-adjusted HAR models with liquidity from the perspective of time-varying transition probabilities (TVTP). Empirical evidence suggests that a sharp deterioration in liquidity increases the probability of a “crisis” state for China's stock market. Out-of-sample forecasting results demonstrate that our proposed TVTP-MS-HAR-CJ-LIQ model, combining TVTP and MS-HAR-CJ with liquidity, substantially improves the predictive performance. Considering liquidity's impact from the TVTP perspective is suggested for the emerging but attention-attracting Chinese stock market." @default.
- W4385484193 created "2023-08-03" @default.
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- W4385484193 date "2024-01-01" @default.
- W4385484193 modified "2023-10-18" @default.
- W4385484193 title "Liquidity and realized volatility prediction in Chinese stock market:A time-varying transitional dynamic perspective" @default.
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- W4385484193 doi "https://doi.org/10.1016/j.iref.2023.07.083" @default.
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