Copeland, Laurence; Zhang, Biqiong - In: Journal of Chinese Economic and Business Studies 1 (2003) 3, pp. 287-300
The fact that stock market returns in Europe and the USA are characterised by conditional heteroscedasticity is by now well documented in a large literature. We address the question of whether the same is true of the four Chinese stock markets (Shanghai and Shenzhen A and B) over the period from...