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Journal article
An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data
International journal of financial studies, v 6(2), pp 1-22
01 Jun 2018
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive relation between stock return and intertemporal downside risk, while controlling for sentiment and liquidity. This study suggests that the U.S. stress risk or the world downside risk should be priced into the Chinese stocks. The paper concludes that the risk-return tradeoff is present in the GARCH-in-mean, local downside risk-return, and global risk-return relations.
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Details
- Title
- An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data
- Creators
- Thomas C. Chiang - Drexel UniversityYuanqing Zhang - Beijing Anli Sales Off, China Secur, Tower C,66 Anli St, Beijing 10020, Peoples R China
- Publication Details
- International journal of financial studies, v 6(2), pp 1-22
- Publisher
- Mdpi
- Number of pages
- 22
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:000436496800002
- Scopus ID
- 2-s2.0-85051739643
- Other Identifier
- 991019167322204721
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- Collaboration types
- International collaboration
- Web of Science research areas
- Business, Finance