The asymmetric behaviour of stock returns and volatilities: evidence from Chinese stock market
AbstractThis article investigates the partial adjustment process with asymmetries on Chinese stock index returns and volatilities. Rolling sample windows method is proper to capture evolving asymmetric behaviours of Chinese emerging stock market. The empirical evidence shows that index returns do have asymmetric adjustment behaviours in most of periods and the market tends to overreact to information contained in negative returns. No asymmetry volatility effect was present at the initial stages of the stock market. Along with the development of the market, the leverage effect are present.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 15 (2008)
Issue (Month): 12 ()
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- David E. Allen & Ron Amram & Michael McAleer, 2011.
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Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico
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- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2012. "Volatility Spillovers from the US to Australia and China across the GFC," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2012-30, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- David E. Allen & Michael McAleer & R.J. Powell & A.K. Singh, 2013. "Volatility Spillovers from the US to Australia and China across the GFC," Tinbergen Institute Discussion Papers 13-009/III, Tinbergen Institute, revised 01 Feb 2013.
- 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, vol. 37(C), pages 89-102.
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