Returns and volatility on the Chinese stock markets

Applied Financial Economics

Volumn 13, Issue 10, 2003, Pages 747-752

  Brooks, Robert D ^a   Ragunathan, Vanitha ^b  

^a RMIT UNIVERSITY   (Australia)

^b UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC INSTABILITY; MARKET CONDITIONS; STOCK MARKET;

CHINA;

EID: 0041887107     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100210148212     Document Type: Article

References (8)

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3. Chui, A. and Kwok, C. (1998) Cross-autocorrelation between A shares and B shares in the Chinese stock market, The Journal of Financial Research, 21, 333-53.
4. Lo, A. and Mackinlay, C. (1990) When are contrarian profits due to stock market overreaction? The Review of Financial Studies, 3, 175-205.
5. Ma, X. (1996) Capital controls, market segmentation and stock prices: evidence from the Chinese stock market, Pacific-Basin Finance Journal, 4, 219-39.
6. Su, D. and Fleisher, B. (1998) Risk, return and regulation in Chinese stock markets, Journal of Economics and Business, 50, 239-56.
7. Su, D. and Fleisher, B. (1999) Why does return volatility differ in Chinese stock markets?, Pacific-Basin Finance Journal, 7, 557-86.
8. Yu, W. (1996) A conditional variance model for daily stock returns in China's emerging stock markets: empirical evidence on the Shanghai and Shenzhen exchanges, Journal of International Financial Markets, Institutions and Money, 6, 1-19.