Correlation and return dispersion dynamics in Chinese markets
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- Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001.
"Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk,"
3128707, Harvard University Department of Economics.
- John Y. Campbell, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, 02.
- John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc.
- François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
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"Why Does Return Volatility Differ in Chinese Stock Markets?,"
98-03, Ohio State University, Department of Economics.
- Su, Dongwei & Fleisher, Belton M., 1999. "Why does return volatility differ in Chinese stock markets?," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 557-586, December.
- Aneja, Yash P & Chandra, Ramesh & Gunay, Erdal, 1989. " A Portfolio Approach to Estimating the Average Correlation Coefficient for the Constant Correlation Model," Journal of Finance, American Finance Association, vol. 44(5), pages 1435-38, December.
- Sun, Qian & Tong, Wilson H. S., 2000. "The effect of market segmentation on stock prices: The China syndrome," Journal of Banking & Finance, Elsevier, vol. 24(12), pages 1875-1902, December.
- D. Michael Long & Janet D. Payne & Chenyang Feng, 1999. "Information Transmission In The Shanghai Equity Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 29-45, 03.
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