Is there a difference between domestic and foreign risk premium? The case of China Stock Market
AbstractThis article studies the dynamic return and market price of risk for Chinese stocks (A-B shares). A Multivariate DCC-GARCH model is used to capture the feature of time-varying volatility in stock returns. We show evidence of different pricing mechanisms explained by the difference in the expected return and market price of risk between A and B shares. However, the significance of the difference between market prices of risk becomes disappearing if GARCH models are used.
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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-089.
Length: 8 pages
Date of creation: 12 Feb 2014
Date of revision:
Asymmetric DCC-GARCH models; B-share discount; Chinese stock market; Market segmentation;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-02-21 (All new papers)
- NEP-RMG-2014-02-21 (Risk Management)
- NEP-TRA-2014-02-21 (Transition Economics)
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