Revisiting the risk-return relation in the Chinese stock market
Decomposition of risk premium and volatility feedback effect
Bibliographic Data
| ID | 12917856 |
|---|---|
| Authors | Hao Liu (0000-0002-4971-7315, Peking University), Shihan Shen (0000-0002-1241-6682, Peking University), Tianyi Wang (0000-0002-0776-9387, University of International Business and Economics), Zhuo Huang (0000-0002-3336-5706, Peking University, corresponding author) |
| Year | 2016 |
| Volume | 9 |
| Issue | 2 |
| Pages | 140-153 |
| Publication date | 2016-04-04 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | China Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 1753-8963 • E-ISSN: 1753-8971 |
| Publisher | Routledge (PUBLISHER • GB) |
| DOI | 10.1080/17538963.2016.1163813 |
| OpenAlex | W2346943086 |
| Language | EN |
| References cited | 36 |
The empirical results of the risk-return relationship are mixed for both mature and merging markets. In this paper, we develop a new volatility model to revisit the risk-return relation of the aggregate stock market index by extending the Realized GARCH model of Hansen et al. (2012) with the Wang and Yang (2013) framework, in which the overall risk-return relation is decomposed into a risk premium and a volatility feedback effect. An empirical analysis of three major Chinese stock indices reveals positive risk premium and negative volatility feedback effect, and those findings are stable across different markets and sub-samples. However, their relative magnitudes differ between markets and varies through time
Econometrics · Economics · Financial economics · Market risk · Risk premium · Stock (firearms · Stock market · Volatility (finance · Volatility risk premium · Volatility smile · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Market Dynamics and Volatility
| Citation velocity | historical |
|---|---|
| Highly cited | No |