Asymmetry in return reversals or asymmetry in volatilities?—New evidence from new markets

Ping Wang and Peijie Wang

Quantitative Finance, 2011, vol. 11, issue 2, 271-285

Abstract: 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)
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/14697681003712888 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:11:y:2011:i:2:p:271-285

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697681003712888

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().