Stock returns and volatility: An empirical study of Chinese stock markets

Haiyan Song, Xiaming Liu, Peter Romilly

Research output: Journal article publicationJournal articleAcademic researchpeer-review

30 Citations (Scopus)


This paper uses GARCH models to analyse the relationship between returns and volatility on the Shanghai and Shenzhen Stock Exchanges in China. Empirical estimates using the sample data from 21 May 1992 to 2 February 1996 suggest that the variances of the returns in the two markets are best modelled by the GARCH-M (1,1) specification. Volatility transmission between the two markets (the volatility spill-over effect) is also found to exist. The results of one month ahead ex ante forecasts show that the conditional variances of the returns of the two stock markets exhibit a similar pattern.
Original languageEnglish
Pages (from-to)129-139
Number of pages11
JournalInternational Review of Applied Economics
Issue number1
Publication statusPublished - 1 Jan 1998
Externally publishedYes

ASJC Scopus subject areas

  • Economics and Econometrics


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