Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/26198
Title: Stock returns and volatility on China's stock markets
Authors: Lee, CF
Chen, GM
Rui, OM
Issue Date: 2001
Source: Journal of financial research, 2001, v. 24, no. 4, p. 523-543 How to cite?
Journal: Journal of financial research 
Abstract: We examine time-series features of stock returns and volatility, as well as the relation between return and volatility in four of China's stock exchanges. Variance ratio tests reject the hypothesis that stock returns follow a random walk. We find evidence of long memory of returns. Application of GARCH and EGARCH models provides strong evidence of time-varying volatility and shows volatility is highly persistent and predictable. The results of GARCH-M do not show any relation between expected returns and expected risk. Daily trading volume used as a proxy for information arrival time has no significant explanatory power for the conditional volatility of daily returns. JEL classification: G15
URI: http://hdl.handle.net/10397/26198
ISSN: 1475-6803
DOI: 10.1111/j.1475-6803.2001.tb00829.x
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