Risk, Return and Regulation in Chinese Stock Markets

Dongwei Su ()

Chapter 3 in Chinese Stock Markets:A Research Handbook, 2003, pp 75-122 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionStock-Market Return and Volatility PatternDay-of-the-Week EffectAnalysis of Variance ApproachMoving Average ApproachMarket Efficiency HypothesisRandom Walk HypothesisCointegration-Based Market EfficiencyGARCH ModelsModel SpecificationCharacterizing Variance in Chinese Stock MarketsNormal DistributionStandardized t-distributionStable DistributionWorld Versus Local Factors in VolatilityEstimation and Empirical ResultsModel ComparisonParameter EstimatesGovernment Regulation and Market VolatilityVolatility Asymmetry and Spill-overA Partial Adjustment Model with AsymmetriesAsymmetric Behavior on Returns and VolatilityStock-Market Volatility Spill-over Between Mainland China and Hong KongSummary

Date: 2003
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Related works:
Journal Article: Risk, Return and Regulation in Chinese Stock Markets (1998)
Working Paper: Risk, Return and Regulation in Chinese Stock Markets (1996)
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