Table 3.
Break dates corresponding to structural breakpoints are detected in the variance of Chinese stock market returns.
| Structural breakpoints | SSEC | SZSC |
|---|---|---|
| 1 | 30-Jul-2001 | 30-Jul-2001 |
| 2 | 25-Jun-2002 | 25-Jun-2002 |
| 3 | 8-Nov-2002 | 22-Oct-2003 |
| 4 | 16-May-2003 | 9-Sep-2004 |
| 5 | 9-Sep-2004 | 19-Aug-2005 |
| 6 | 8-Dec-2006 | 8-May-2006 |
| 7 | 21-Jan-2008 | 9-Aug-2006 |
| 8 | 20-Nov-2008 | 8-Jan-2007 |
| 9 | 29-Jul-2009 | 3-Aug-2007 |
| 10 | 12-Oct-2009 | 21-Jan-2008 |
| 11 | 24-Jan-2011 | 20-Nov-2008 |
| 12 | 24-Jul-2013 | 2-Dec-2009 |
| 13 | 21-Nov-2014 | 6-Apr-2012 |
| 14 | 16-Jun-2015 | 15-Apr-2015 |
| 15 | 31-Aug-2015 | 22-Mar-2016 |
| 16 | 4-Jan-2016 | 31-Jan-2018 |
| 17 | 3-Mar-2016 | 1-Feb-2019 |
| 18 | 16-Aug-2016 | 12-Jun-2019 |
| 19 | 6-Feb-2018 | 23-Jan-2020 |
| 20 | 8-Oct-2018 | 26-Mar-2020 |
| 21 | 20-May-2019 | 6-Jul-2020 |
| 22 | 23-Jan-2020 | 4-Aug-2020 |
| 23 | 4-Feb-2020 | |
| 24 | 26-Mar-2020 | |
| 25 | 1-Jul-2020 | |
| 26 | 27-Jul-2020 |
Note: Break dates corresponding to volatility breakpoints are detected in the variance of the Chinese stock market returns from January 2001 to October 2020 by using the ISCC algorithm. Which, Chinese stock market includes two indexes.
- SSEC's return is the stock return of Shanghai Composite Index.
- SZSC's return is the stock return of the Shenzhen Composite Index.