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Risk, Return and Regulation in Chinese Stock Markets

1998; Elsevier BV; Volume: 50; Issue: 3 Linguagem: Inglês

10.1016/s0148-6195(98)00002-2

1879-1735

Dongweí Su, Belton M. Fleisher,

Market Dynamics and Volatility

This paper studies the dynamic behavior of risks and returns in Chinese stock markets. We characterize the time-series properties of stock-market returns and volatility. We estimate an empirical model which captures the effects of local and global information variables on the conditional mean of stock-market excess returns, and characterize the second-order conditional moments using three-error generation processes. We find 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 find that the government's market intervention policies have affected stock-market volatility in China.