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International Review of Applied Economics Volume 12, 1998 - Issue 1
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Original Articles

Stock Returns and Volatility: an empirical study of Chinese stock markets

Haiyan Song School of Management Studies, University of Surrey, Guildford GU2 5XH, UK
,
Xiaming Liu Aston Business School, University of Aston, Birmingham B4 7ET, UK
&
Peter Romilly School of Social Sciences, University of Abertay Dundee, Dundee DD1 1NJ, Scotland, UK.
Pages 129-139 | Published online: 28 Jul 2006

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Read on this site (4)

Rose Neng Lai & Yang Zhang. (2020) Spillover and Profitability of Intraday Herding on Cross-Listed Stocks. The Chinese Economy 53:1, pages 25-61.
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Joseph Emmanuel Lukban Angeles. (2017) Assessing impact of regulatory risk on shareholders’ wealth. Applied Economics 49:2, pages 202-212.
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Xin Lv, Weijia Dong & Fang Fang. (2015) The Asymmetric Effects of Official Interest Rate Changes on China’s Stock Market During Different Market Regimes. Emerging Markets Finance and Trade 51:4, pages 826-841.
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Ekaterini Tsouma. (2007) Stock return dynamics and stock market interdependencies. Applied Financial Economics 17:10, pages 805-825.
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Articles from other publishers (17)

Hakan Altin. (2022) Volatility Analysis in International Indices. International Journal of Sustainable Economies Management 11:1, pages 1-17.
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Syed Kumail Abbas Rizvi, Bushra Naqvi & Nawazish Mirza. (2021) Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs. Annals of Operations Research 313:1, pages 495-524.
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Vanshu Mahajan, Sunil Thakan & Aashish Malik. (2022) Modeling and Forecasting the Volatility of NIFTY 50 Using GARCH and RNN Models. Economies 10:5, pages 102.
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Muhammad Umar, Syed Kumail Abbas Rizvi & Bushra Naqvi. (2021) Dance with the devil? The nexus of fourth industrial revolution, technological financial products and volatility spillovers in global financial system. Technological Forecasting and Social Change 163, pages 120450.
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Amanjot Singh & Manjit Singh. (2017) Intertemporal risk-return relationship in BRIC equity markets after the US financial crisis. International Journal of Law and Management 59:4, pages 547-570.
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Menggen Chen. (2015) Risk-return tradeoff in Chinese stock markets: some recent evidence. International Journal of Emerging Markets 10:3, pages 448-473.
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Parneet Kaur & Amanjot Singh. (2015) Investigating the Leverage Effect and Volatility in the BRIC Countries’ Equity Markets After the U.S. Financial Crisis. The Journal of Wealth Management 17:4, pages 93-100.
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Ziran Li, Jiajing Sun & Michael Cole. 2015. The Chinese Stock Market Volume II. The Chinese Stock Market Volume II 125 189 .
Lin Nan, Lu Hong & Qin Zheng. (2010) An empirical study on the existence of bubble in Chinese stock market: Based on TGARCH model. An empirical study on the existence of bubble in Chinese stock market: Based on TGARCH model.
Cheol S. Eun & Wei Huang. (2007) Asset pricing in China's domestic stock markets: Is there a logic?. Pacific-Basin Finance Journal 15:5, pages 452-480.
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Rıza Demirer & Ali M. Kutan. (2006) Does herding behavior exist in Chinese stock markets?. Journal of International Financial Markets, Institutions and Money 16:2, pages 123-142.
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Zijun Wang, Ali M. Kutan & Jian Yang. (2005) Information flows within and across sectors in Chinese stock markets. The Quarterly Review of Economics and Finance 45:4-5, pages 767-780.
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Xiao-Ming Li. (2003) China: Further Evidence on the Evolution of Stock Markets in Transition Economies. Scottish Journal of Political Economy 50:3, pages 341-358.
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Haiyan SONG, Zinan LIU & Ping JIANG. (2001) Analysing the determinants of China's aggregate investment in the reform period. China Economic Review 12:2-3, pages 227-242.
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Winnie P.H Poon & Hung-Gay Fung. (2000) Red chips or H shares: which China-backed securities process information the fastest?. Journal of Multinational Financial Management 10:3-4, pages 315-343.
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Rose Neng Lai & Yang Zhang. (2015) Intraday Herding on Cross-Listed Stocks Spillover and Abnormal Return. SSRN Electronic Journal.
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Ari Hyytinen. (1999) Stock Return Volatility on Scandinavian Stock Markets and the Banking Industry: Evidence from the Years of Financial Liberalisation and Banking Crisis. SSRN Electronic Journal.
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