An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data
Thomas C. Chiang () and
Yuanqing Zhang ()
Additional contact information
Thomas C. Chiang: Department of Finance, Drexel University, LeBow Hall, 3220 Market Street, Philadelphia, PA 19104, USA
Yuanqing Zhang: China Securities, Beijing Anli Sales Office, Tower C, Anli Garden, 66 Anli Street, ChaoYang District, Beijing 10020, China
International Journal of Financial Studies, 2018, vol. 6, issue 2, 1-22
This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive relation between stock return and intertemporal downside risk, while controlling for sentiment and liquidity. This study suggests that the U.S. stress risk or the world downside risk should be priced into the Chinese stocks. The paper concludes that the risk-return tradeoff is present in the GARCH-in-mean, local downside risk-return, and global risk-return relations.
Keywords: stock return; Chinese stock market; illiquidity; VaR; GARCH-M; downside risk (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 F2 F3 F41 F42 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:gam:jijfss:v:6:y:2018:i:2:p:35-:d:138061
Access Statistics for this article
International Journal of Financial Studies is currently edited by Prof. Dr. Nicholas Apergis
More articles in International Journal of Financial Studies from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().