Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market
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DOI: 10.1016/j.econmod.2013.11.002
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Cited by:
- Borjigin, Sumuya & Gao, Ting & Sun, Yafei & An, Biao, 2020. "For evil news rides fast, while good news baits later?—A network based analysis in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
- Shen, Yifan, 2018. "International risk transmission of stock market movements," Economic Modelling, Elsevier, vol. 69(C), pages 220-236.
- Muhammad Surajo Sanusi, 2017. "Investigating the sources of Black’s leverage effect in oil and gas stocks," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1318812-131, January.
- Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
- Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2020. "The distribution of index futures realised volatility under seasonality and microstructure noise," Economic Modelling, Elsevier, vol. 93(C), pages 398-414.
- Wang, Xunxiao & Wu, Chongfeng & Xu, Weidong, 2015. "Volatility forecasting: The role of lunch-break returns, overnight returns, trading volume and leverage effects," International Journal of Forecasting, Elsevier, vol. 31(3), pages 609-619.
- Geeta Duppati & Yang (Greg) Hou & Frank Scrimgeour, 2017. "The dynamics of price discovery for cross-listed stocks evidence from US and Chinese markets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1389675-138, January.
- Newaz, Mohammad Khaleq & Park, Jin Suk, 2019. "The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 79-94.
More about this item
Keywords
Stock return; Chinese stock market; Conditional heteroskedasticity; Leverage effect; Regime persistence;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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