Research on Multiple Structural Breaks of A-share Market Based on Bai-Perron and Modified ICSS Test
Xiaofei Wu, Shuzhen Zhu, Zhengwu Bai, Xin Li

Abstract
The paper mainly aims to find the number and the reasons for the structural breaks in the A-share market by using the Bai-Perron test and the modified ICSS test. Through summarizing the important economic events, corresponding to the structural break period, this paper explains the reasons and factors of structure change. The empirical results show that the impact of an event may cause the financial time series to be non-stationary and change the structure on both the mean and variance level or one of them. The modified ICSS algorithm is more suitable for the analysis of the A-share market volatility than the BP test. Seven structural breaks of ICSS test show the features of the A-share market such as liquidity under the new normal of the economy, de-leverage effect and so on.

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