The outliers of Chinese stock markets

Time series data of economic activities are often subject to outliers or changes which include an external change, or a gradual shift in the mean of the series. This paper reviews the available literature on the panel unit root tests and outliers. We examine the returns of Chinese stock markets, and find the significant evidence of outliers in Chinese stock markets. We argue that the structural changes in terms of exogenous and endogenous forms could affect Chinese stock market efficiency.