Revisiting the risk-return relation in the Chinese stock market: Decomposition of risk premium and volatility feedback effect

Hao Liu, Shihan Shen, Tianyi Wang () and Zhuo Huang

China Economic Journal, 2016, vol. 9, issue 2, 140-153

Abstract: The empirical results of the risk-return relationship are mixed for both mature and merging markets. In this paper, we develop a new volatility model to revisit the risk-return relation of the aggregate stock market index by extending the Realized GARCH model of Hansen et al. (2012) with the Wang and Yang (2013) framework, in which the overall risk-return relation is decomposed into a risk premium and a volatility feedback effect. An empirical analysis of three major Chinese stock indices reveals positive risk premium and negative volatility feedback effect, and those findings are stable across different markets and sub-samples. However, their relative magnitudes differ between markets and varies through time.

Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/17538963.2016.1163813 (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:rcejxx:v:9:y:2016:i:2:p:140-153

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rcej20

DOI: 10.1080/17538963.2016.1163813

Access Statistics for this article

China Economic Journal is currently edited by Tiechang Gao and Yiping Huang

More articles in China Economic Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().