Stock Returns and Volatility on China's Stock Markets
We examine time-series features of stock returns and volatility, as well as the relation between return and volatility in four of China's stock exchanges. Variance-ratio tests reject the hypothesis that stock return follows a random walk. We find evidence of long memory of returns. Application of GARCH and EGARCH models provides strong evidence of time-varying volatility and shows volatility is highly persistent and predictable. The results of GARCH-M do not show any relation between expected returns and expected risk. Daily trading volume used as a proxy for information arrival time has no significant explanatory power for the conditional volatility of daily returns.
Year of publication: |
2001
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Authors: | Lee, Cheng F ; Chen, Gong-meng ; Rui, Oliver M |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 24.2001, 4, p. 523-43
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Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
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