An Empirical Study on the Relation between Risk and Return in China Stock Market

摘要：

　　This paper studies the intertemporal relation between risk and return in the China stock market return.The markets conditional variance is proxy for risk.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.This means that the ICAPM model is well in China stock market.

关键词： China stock market risk-return trade-off MIDAS

作者: Zhou Jinhua

作者单位: School of Economics and Trade, Shanghai Lixin University of Commerce

会议类型: 国际会议

会议名称: The 4th Conference on Chinas Economic Operation Risk Management(2010·Shanghai)(第四届中国立信风险管理论坛)

会议地点: 上海

会议语种:英文

页码: 312-315

在线出版日期: 2010-10-14（万方平台首次上网日期，不代表论文的发表时间）