An Empirical Study on Risk-return Trade-off in China Stock Market

摘要：

This paper studies the intertemporal relation between the conditional mean and the conditional variance of the China stock market return. I model conditional variance by MIDAS (the mixed data sampling) approach, which forecasts monthly variance with past daily squared returns. Using MIDAS, I find a significantly positive relation between risk and return in the china stock market. The finding is robust when use the asymmetric specifications of the variance process.

关键词： China Stock Market Risk-return Trade-off MIDAS

作者: BIAN Shibo

作者单位: Risk Management Research Institute, Shanghai Lixin University of Commerce, RP, China, 201620 Antai College of Economics and Management, Shanghai Jiao Tong University, RP, China, 200052

会议类型: 国际会议

会议名称: The International Conference on Management of Technology,taiyuan 2009(2009太原技术管理国际研讨会)

会议地点: 太原

会议语种:英文

页码: 894-898

在线出版日期: 2009-11-20（万方平台首次上网日期，不代表论文的发表时间）