This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock market returns. We employ the innovations in implied volatility indices of seven major international markets as our international volatility risk proxies. We find that...

In this paper, we investigate whether the “lotto investor” can benefit from the time-varying skewness of market portfolio and how to capture the gain using skew timing strategies. We find that empirically applying the mean-variance-skewness (M-V-S) rule of Mitton and Vorkink (2007) generates...

While numerous studies have analyzed the asset allocation issue of US stock market from various angles, much less attention has been paid to the asset allocation issue of Chinese stock market. This article investigates the asset allocation in Chinese stock market from a perspective of...