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

Haiyan Song; Xiaming Liu; Peter Romilly

doi:10.1080/026921719800000029

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

Haiyan Song, Xiaming Liu, Peter Romilly

Research output: Journal article publication › Journal article › Academic research › peer-review

30 Citations (Scopus)

Abstract

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 language	English
Pages (from-to)	129-139
Number of pages	11
Journal	International Review of Applied Economics
Volume	12
Issue number	1
DOIs	https://doi.org/10.1080/026921719800000029
Publication status	Published - 1 Jan 1998
Externally published	Yes

ASJC Scopus subject areas

Economics and Econometrics

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10.1080/026921719800000029

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

Abstract

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