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...

We show that E[X(g(Y[subscript 1],...,Y[subscript n])] (where E[.] is the expectation operator) can be decomposed into a product of two expected values plus a sum of n comovement terms, if X, Y[subscript 1], . . . , Y[subscript n] follow a distribution that admits linear conditional expectation...