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Risk, Return and Regulation in Chinese Stock Markets

Author

Listed:
  • Belton Fleisher
  • Dongwei Su

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
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Belton Fleisher & Dongwei Su, 1996. "Risk, Return and Regulation in Chinese Stock Markets," Working Papers 005, Ohio State University, Department of Economics.
    • Handle: RePEc:osu:osuewp:005
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    File URL: http://ecolan.sbs.ohio-state.edu/pdf/fleisher/volpap-j.pdf
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    References listed on IDEAS

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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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