Is there a difference between domestic and foreign risk premium? The case of China Stock Market
This 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.
|Date of creation:||12 Feb 2014|
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