Study on the Risk-Return Relationship in Chinese Stock Markets: Sampling from the Mized Data

摘要：

This paper investigates the intertemporal relation between the conditional mean and the conditional variance of Chinese stock market return. The empirical study with a sample from the mixed data (or MIDAS) shows that a negative and statistically insignificant risk-return relationship is found in Shanghai Stock Market, but a positive and statistically significant risk-return relationship is found in Shenzhen Stock Market. In contrast, the results show the stock return is positively related to the risk in Shanghai and Shenzhen Stock Market with GARCH-M model; however this relationship is only statistically significant in Shenzhen. Comparing with the results from MIDAS and GARCH-M, we find that GARCH-M model seems to be better in this line study.

关键词： Risk-return Relationship MIDAS GARCH-M Model ICAPM

作者: CHEN Menggen XIE Yingni

作者单位: Department of Statistics, Tianjin University of Finance & Economics, P.R.China, 300222

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-4

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）