Next Article in Journal
Hidden Markov Model for Stock Trading
Next Article in Special Issue
Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing
Previous Article in Journal
The Empirical Analysis of the Impact of Bank Capital Regulations on Operating Efficiency
Previous Article in Special Issue
Gas Storage Valuation and Hedging: A Quantification of Model Risk
Article Menu

Export Article

Open AccessFeature PaperArticle
Int. J. Financial Stud. 2018, 6(2), 35; https://doi.org/10.3390/ijfs6020035

An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data

1
Department of Finance, Drexel University, LeBow Hall, 3220 Market Street, Philadelphia, PA 19104, USA
2
China Securities, Beijing Anli Sales Office, Tower C, Anli Garden, 66 Anli Street, ChaoYang District, Beijing 10020, China
*
Author to whom correspondence should be addressed.
Received: 10 December 2017 / Revised: 14 March 2018 / Accepted: 14 March 2018 / Published: 26 March 2018
(This article belongs to the Special Issue Finance, Financial Risk Management and their Applications)
Full-Text   |   PDF [605 KB, uploaded 3 May 2018]   |  

Abstract

This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive relation between stock return and intertemporal downside risk, while controlling for sentiment and liquidity. This study suggests that the U.S. stress risk or the world downside risk should be priced into the Chinese stocks. The paper concludes that the risk-return tradeoff is present in the GARCH-in-mean, local downside risk-return, and global risk-return relations. View Full-Text
Keywords: stock return; Chinese stock market; illiquidity; VaR; GARCH-M; downside risk stock return; Chinese stock market; illiquidity; VaR; GARCH-M; downside risk
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).
SciFeed

Share & Cite This Article

MDPI and ACS Style

Chiang, T.C.; Zhang, Y. An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data. Int. J. Financial Stud. 2018, 6, 35.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Int. J. Financial Stud. EISSN 2227-7072 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top