The asymmetric behaviour of stock returns and volatilities: evidence from Chinese stock market

Bing Zhang and Xindan Li

Applied Economics Letters, 2008, vol. 15, issue 12, 959-962

Abstract: This article investigates the partial adjustment process with asymmetries on Chinese stock index returns and volatilities. Rolling sample windows method is proper to capture evolving asymmetric behaviours of Chinese emerging stock market. The empirical evidence shows that index returns do have asymmetric adjustment behaviours in most of periods and the market tends to overreact to information contained in negative returns. No asymmetry volatility effect was present at the initial stages of the stock market. Along with the development of the market, the leverage effect are present.

Date: 2008
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DOI: 10.1080/13504850600970042

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