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Risk, Return and Regulation in Chinese Stock Markets

In: Chinese Stock Markets A Research Handbook

Author

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  • Dongweí Su

    (Department of Finance, Ji Nan University, China)

Abstract

The following sections are included:IntroductionStock-Market Return and Volatility PatternDay-of-the-Week EffectAnalysis of Variance ApproachMoving Average ApproachMarket Efficiency HypothesisRandom Walk HypothesisCointegration-Based Market EfficiencyGARCH ModelsModel SpecificationCharacterizing Variance in Chinese Stock MarketsNormal DistributionStandardized t-distributionStable DistributionWorld Versus Local Factors in VolatilityEstimation and Empirical ResultsModel ComparisonParameter EstimatesGovernment Regulation and Market VolatilityVolatility Asymmetry and Spill-overA Partial Adjustment Model with AsymmetriesAsymmetric Behavior on Returns and VolatilityStock-Market Volatility Spill-over Between Mainland China and Hong KongSummary

Suggested Citation

  • Dongweí Su, 2003. "Risk, Return and Regulation in Chinese Stock Markets," World Scientific Book Chapters, in: Chinese Stock Markets A Research Handbook, chapter 3, pages 75-122, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812795625_0003
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    More about this item

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance
    • N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East

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