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The interaction and volatility asymmetry of unexpected returns in the greater China stock markets

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  • Yeh, Yin-Hua
  • Lee, Tsun-Siou
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    Bibliographic Info

    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 11 (2000)
    Issue (Month): 1-2 ()
    Pages: 129-149

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    Handle: RePEc:eee:glofin:v:11:y:2000:i:1-2:p:129-149

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    Web page: http://www.elsevier.com/locate/inca/620162

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    1. John Wei, K. C. & Liu, Yu-Jane & Yang, Chau-Chen & Chaung, Guey-Shiang, 1995. "Volatility and price change spillover effects across the developed and emerging markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 3(1), pages 113-136, May.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 31(3), pages 307-327, April.
    3. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, Econometric Society, vol. 62(4), pages 901-33, July.
    4. Chan, Yue-cheong & John Wei, K. C., 1996. "Political risk and stock price volatility: The case of Hong Kong," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 4(2-3), pages 259-275, July.
    5. Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 31(3), pages 281-318, June.
    6. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, Elsevier, vol. 45(1-2), pages 7-38.
    7. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report, Federal Reserve Bank of Minneapolis 157, Federal Reserve Bank of Minneapolis.
    8. Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, American Finance Association, vol. 41(3), pages 529-43, July.
    9. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 24(02), pages 241-256, June.
    10. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 44(1-2), pages 215-238.
    11. Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, Elsevier, vol. 39(1), pages 71-104, September.
    12. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, Elsevier, vol. 17(1), pages 5-26, September.
    13. Brailsford, Timothy J., 1995. "Market closures and time-varying volatility in the Australian equity market," Journal of Empirical Finance, Elsevier, Elsevier, vol. 2(2), pages 165-172, June.
    14. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 43(1), pages 29-77, January.
    15. Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers, Rochester, Business - General 89-02, Rochester, Business - General.
    16. Engle, Robert F & Susmel, Raul, 1993. "Common Volatility in International Equity Markets," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(2), pages 167-76, April.
    17. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
    18. Bailey, Warren, 1994. "Risk and return on China's new stock markets: Some preliminary evidence," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 2(2-3), pages 243-260, May.
    19. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, Elsevier, vol. 52(1-2), pages 5-59.
    20. E.K. Berndt & B.H. Hall & R.E. Hall, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, National Bureau of Economic Research, Inc, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 103-116 National Bureau of Economic Research, Inc.
    21. Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
    22. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 391-407, March.
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    Cited by:
    1. Chong, Terence Tai-Leung & Lam, Tau-Hing & Yan, Isabel Kit-Ming, 2012. "Is the Chinese stock market really inefficient?," China Economic Review, Elsevier, Elsevier, vol. 23(1), pages 122-137.
    2. Groenewold, Nicolaas & Tang, Sam Hak Kan & Wu, Yanrui, 2003. "The efficiency of the Chinese stock market and the role of the banks," Journal of Asian Economics, Elsevier, Elsevier, vol. 14(4), pages 593-609, August.
    3. Kin‐Yip Ho & Zhaoyong Zhang, 2012. "Dynamic Linkages among Financial Markets in the Greater China Region: A Multivariate Asymmetric Approach," The World Economy, Wiley Blackwell, Wiley Blackwell, vol. 35(4), pages 500-523, 04.
    4. Wang, Steven Shuye & Firth, Michael, 2004. "Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 14(3), pages 235-254, July.
    5. Hatemi-J, Abdulnasser & Roca, Eduardo D., 2004. "Do birds of the same feather flock together?: The case of the Chinese states equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 14(3), pages 281-294, July.
    6. Wang, Ping & Liu, Aying & Wang, Peijie, 2004. "Return and risk interactions in Chinese stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 14(4), pages 367-383, October.
    7. Park, Beum-Jo, 2011. "Asymmetric herding as a source of asymmetric return volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(10), pages 2657-2665, October.
    8. Yi-Hsien Wang & Chin-Tsai Lin, 2009. "The political uncertainty and stock market behavior in emerging democracy: the case of Taiwan," Quality & Quantity: International Journal of Methodology, Springer, Springer, vol. 43(2), pages 237-248, March.
    9. Ho, Kin Yip & Tsui, Albert K.C., 2004. "Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach," China Economic Review, Elsevier, Elsevier, vol. 15(4), pages 424-442.
    10. Wang, Yuenan & Iorio, Amalia Di, 2007. "Are the China-related stock markets segmented with both world and regional stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 17(3), pages 277-290, July.
    11. Chan, Kam C. & Fung, Hung-Gay & Thapa, Samanta, 2007. "China financial research: A review and synthesis," International Review of Economics & Finance, Elsevier, Elsevier, vol. 16(3), pages 416-428.
    12. Yi-Hsien Wang & Chin-Tsai Lin & Jung Lin, 2012. "Does weather impact the stock market? Empirical evidence in Taiwan," Quality & Quantity: International Journal of Methodology, Springer, Springer, vol. 46(2), pages 695-703, February.
    13. McInish, Thomas H. & Ding, David K. & Pyun, Chong Soo & Wongchoti, Udomsak, 2008. "Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis," International Review of Financial Analysis, Elsevier, Elsevier, vol. 17(2), pages 312-329.
    14. Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong, 2014. "Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market," Economic Modelling, Elsevier, Elsevier, vol. 37(C), pages 89-102.
    15. Rezvanian, Rasoul & Turk, Rima A. & Mehdian, Seyed M., 2011. "Investors' reactions to sharp price changes: Evidence from equity markets of the People's Republic of China," Global Finance Journal, Elsevier, Elsevier, vol. 22(1), pages 1-18.
    16. Chin-Tsai Lin & Yi-Hsien Wang, 2005. "An Analysis of Political Changes on Nikkei 225 Stock Returns and Volatilities," Annals of Economics and Finance, Society for AEF, Society for AEF, vol. 6(1), pages 169-183, May.

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