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Article

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

AMA Style

Chiang TC, Zhang Y. An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data. International Journal of Financial Studies. 2018; 6(2):35. https://doi.org/10.3390/ijfs6020035

Chicago/Turabian Style

Chiang, Thomas C., and Yuanqing Zhang. 2018. "An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data" International Journal of Financial Studies 6, no. 2: 35. https://doi.org/10.3390/ijfs6020035

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