Asymmetry in return reversals or asymmetry in volatilities?—New evidence from new markets
Ping Wang and
Quantitative Finance, 2011, vol. 11, issue 2, 271-285
The paper analyses asymmetry in return reversals and in time-varying volatilities and their interactions using daily returns on the Shanghai Stock Exchange and Shenzhen Stock Exchange. It is concluded that asymmetry in volatilities arises from unconfirmed asymmetry in return reversals, or ambiguity in asymmetry in return reversals.
Keywords: Asymmetry; Econometrics of financial markets; Empirical time series analysis; Return reversals (search for similar items in EconPapers)
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