A Positive Risk-Return Trade-off in Chinese Stock Market Evidence from High Frequency Data

摘要：

This research divides the sample data of Chinese stock markets into two periods: 1996-2000 and 20012009. The stock market reform acted by the government in 2000 is the boundary. The study examines the changes of the risk-return tradeoff patterns in Chinese stock markets by using the modified GARCH models. The results indicate the risk-return relation in Chinese stock markets is constantly positive. And the investors risk aversion tends to decrease after the reform. Also by using the Granger cause test, the study document the conditional variances of Shanghai index and Shenzhen index Granger cause each other in both periods. This is a clear evidence of cross spillover effect. And the general GARCH (1,1) model indicate a wear-form efficiency market.

关键词： GARCH model Risk-return tradeoff Spillover effect Weak-form efficiency market

作者: CHEN Zhisong

作者单位: School of Accounting, Economics and Finance ,Deakin Univeristy ,Melbourne, Australia,3125

会议类型: 国际会议

会议名称: The 3rd (2011) International Conference on Financial Risk and Corporate Finance Management(第三届(2011)金融风险与公司金融国际研讨会FRCFM 2011)

会议地点: 大连

会议语种:英文

页码: 133-138

在线出版日期: 2011-06-30（万方平台首次上网日期，不代表论文的发表时间）