The Distributional Properties of Realized Volatility: Evidence from the Stock Market of China
In this paper, we study the distributional properties of returns and volatility in the stock market of China and their implications for asset allocation, risk management and asset pricing. In particular, the focus is on realized volatility estimated from high frequency intraday returns and returns standardized by realized volatility. Returns standardized by realized volatility are approximately normal as is logarithmic realized volatility. Based on high frequency data analysis, we find that logarithmic realized volatility in the stock market of China is less approximately normal and is noisy, so stock market of china is lack of stead, and volatility is active, risk is big.
Realized Volatility High Frequency Market Microstructure Noise
Su Mimi Zhang Teng
School of Finance and Banking Shandong University of Finance, Jinan Shandong P.R.China, 250014 School of Mathematics and System Sciences Shandong University, Jinan Shandong P.R.China, 250100
国际会议
2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)
烟台
英文
1-6
2008-08-14（万方平台首次上网日期，不代表论文的发表时间）