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Applied Economics Letters Volume 15, 2008 - Issue 12
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Original Articles

The asymmetric behaviour of stock returns and volatilities: evidence from Chinese stock market

Bing Zhang School of Management and Engineering, Nanjing University, 210093, P.R. ChinaCorrespondence[email protected]
&
Xindan Li School of Management and Engineering, Nanjing University, 210093, P.R. China
Pages 959-962 | Published online: 03 Oct 2008

Citations (13)

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Read on this site (1)

Ping Wang & Peijie Wang. (2011) Asymmetry in return reversals or asymmetry in volatilities?—New evidence from new markets. Quantitative Finance 11:2, pages 271-285.
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Articles from other publishers (12)

Omid Sabbaghi. (2023) ESG and volatility risk: International evidence. Business Ethics, the Environment & Responsibility 32:2, pages 802-818.
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Muhammad Umar, Nawazish Mirza, Syed Kumail Abbas Rizvi & Mehreen Furqan. (2023) Asymmetric volatility structure of equity returns: Evidence from an emerging market. The Quarterly Review of Economics and Finance 87, pages 330-336.
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Sumuya Borjigin, Ting Gao, Yafei Sun & Biao An. (2020) For evil news rides fast, while good news baits later?—A network based analysis in Chinese stock market. Physica A: Statistical Mechanics and its Applications 551, pages 124593.
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Mohammad Khaleq Newaz & Jin Suk Park. (2019) The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks. The Quarterly Review of Economics and Finance 71, pages 79-94.
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Chi-Wei Su, Hui Yu, Hsu-Ling Chang & Xiao-Lin Li. (2016) How does inflation determine inflation uncertainty? A Chinese perspective. Quality & Quantity 51:3, pages 1417-1434.
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Johnny Siu-Hang Li, Andrew C.Y. Ng & Wai-Sum Chan. (2015) Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression. International Review of Economics & Finance 40, pages 217-230.
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Ling Long, Albert K. Tsui & Zhaoyong Zhang. (2014) Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market. Economic Modelling 37, pages 89-102.
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David E. Allen, Ron Amram & Michael McAleer. (2013) Volatility spillovers from the Chinese stock market to economic neighbours. Mathematics and Computers in Simulation 94, pages 238-257.
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Ai Jun Hou. (2013) Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach. Journal of International Financial Markets, Institutions and Money 23, pages 12-32.
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Michael Day & Mark Diamond. (2017) GARCH Model, Heavy Tails and the Chinese Stock Market Returns. SSRN Electronic Journal.
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David E. Allen, Ron Amram & Michael McAleer. (2011) Volatility Spillovers from the Chinese Stock Market to Economic Neighbours. SSRN Electronic Journal.
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Ai Jun Hou. (2007) Asymmetry Effects in Chinese Stock Markets Volatility: A Generalized Additive Nonparametric Approach. SSRN Electronic Journal.
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