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Original Articles

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

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Pages 959-962 | Published online: 03 Oct 2008

References

  • Balaban , E. , Bayar , A. and Kan , O. B. 2001 . Stock returns, seasonality and asymmetric conditional volatility in world equity markets . Applied Economics Letters , 8 : 263 – 8 .
  • Engle , R. F. 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1007 .
  • Engle , R. F. and Ng , V. K. 1993 . Measuring and Testing the Impact of News on Volatility . Journal of Finance , 48 : 1749 – 78 .
  • Koutmos , G. 1998 . Asymmetries in the conditional mean and the conditional variance: evidence from nine stock markets . Journal of Economics and Business , 50 : 277 – 90 .
  • Koutmos , G. 1999 . Asymmetric index stock returns: evidence from the G-7 . Applied Economics Letters , 6 : 817 – 20 .
  • Zakoian , J.-M. 1994 . Threshold heteroskedastic models . Journal of Economic Dynamics and Control , 18 : 931 – 55 .

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