Risk, Return and Regulation in Chinese Stock Markets
نویسندگان
چکیده
This paper studies the dynamic behavior of risks and returns in Chinese stock markets. We characterize the time-series properties of stock-market return and volatility and test the market e–ciency hypothesis. We estimate an empirical model that captures the efiect of local and global information variables on the conditional mean of stock-market returns and characterize the second order conditional moments using three error generation processes. We flnd that stock-market volatility is time-varying, mildly persistent, and is best described by a fat-tailed distribution such as the Stable distribution. We also flnd that government’s market liberalization policies have contributed to high stock-market volatility in China. Risk, Return and Regulation in Chinese Stock Markets
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