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The Role of Analysts : An Examination of the Idiosyncratic Volatility Anomaly in the Chinese Stock Market

Gu, Ming - 2020

of analyst activities on idiosyncratic volatility (IVOL) anomaly. Our results show that the inverse relation between IVOL …

Persistent link: https://www.econbiz.de/10012854727

Risk and Return in the Chinese Stock Market : Does Equity Return Dispersion Proxy Risk?

Chen, Chun-Da - 2015

systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk … even after controlling for market, size, book-to-market, and idiosyncratic volatility effects. We observe that stocks with …

Persistent link: https://www.econbiz.de/10013023627

Estimating Stock Return Volatility in Indian and Chinese Stock Market

Tripathi, Vanita - 2016

. This paper aims to search the best model to estimate and forecast volatility of Indian and Chinese stock market. The data …, we found the GARCH (1,1) model as the best model to estimate and forecast the volatility of Chinese stock market for both … the daily and weekly return series. For the Indian stock market, the recommended volatility estimation and forecasting …

Persistent link: https://www.econbiz.de/10012984654

Seasonality Effects through ARCH and GARCH Model : Evidence from Shanghai Stock Market (China)

Ahmed, Rizwan - 2016

The paper examines three seasonal effects from Shanghai Stock market China: the weekend effect, turn of the month and …

Persistent link: https://www.econbiz.de/10012984798

Dynamic volatility spillovers across the Extended Greater China Region stock markets

Diaz, John Francis - In: Global economy journal : GEJ 21 (2021) 1, pp. 2150003-1-2150003-22

Persistent link: https://www.econbiz.de/10012805962

Empirical investigation of changes in policy uncertainty on stock returns : evidence from China's market

Chen, Xiaoyu; Chiang, Thomas C. - In: Research in international business and finance 53 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012549183

Asymmetric volatility spillovers between economic policy uncertainty and stock markets : evidence from China

Wang, Ziwei; Li, Youwei; He, Feng - In: Research in international business and finance 53 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012549831

Barra risk model based idiosyncratic momentum for the Chinese equity market

Lu, Sean; Lu, Cindy - In: Multinational finance journal 24 (2020) 1/2, pp. 1-37

Persistent link: https://www.econbiz.de/10012590992

Volatility transmissions across international oil market, commodity futures and stock markets : empirical evidence from China

Ahmed, Abdullahi Dahir; Huo, Rui - In: Energy economics 93 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012631345

Downside risk in the oil market : does it affect stock returns in China?

Su, Zhi; Mo, Xuan; Yin, Libo - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 11, pp. 3139-3152

Persistent link: https://www.econbiz.de/10012607465

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