In search of distress risk in China's stock market
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DOI: 10.1016/j.gfj.2018.08.003
Abstract: Abstract We examine the significance of size, book-to-market, and momentum factors in capturing financial distress risk in China's stock market. Consistent with the market underreaction hypothesis, we find that the momentum factor proxies for distress… read more here.
Keywords: china stock; distress risk; market; risk china ... See more keywords
Realized Semivariances and the Variation of Signed Jumps in China’s Stock Market
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DOI: 10.1080/1540496x.2015.1095566
Abstract: ABSTRACT In this article, we explore the asymmetric predictability of realized semivariances and the difference of signed jump variations in China’s stock market with high frequency data from 2006 to 2013. Our empirical results show… read more here.
Keywords: market realized; china stock; realized semivariances; stock market ... See more keywords
Margin Trading and Volatility: Further Evidence from China’s Stock Market
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DOI: 10.1080/1540496x.2018.1558052
Abstract: ABSTRACT Different methods were implemented for each margin trading policy stage to estimate policy impacts on volatility of China’s stock markets, which include but not limited to VAR model, impulse response function, and ARCH regression… read more here.
Keywords: margin trading; china stock; volatility;
Dynamic Spillover Effects between the US Stock Volatility and China’s Stock Market Crash Risk: A TVP-VAR Approach
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DOI: 10.1155/2021/6616577
Abstract: Due to the increasing linkage of China and the US stock markets today, we constructed a TVP-VAR model to study the dynamic spillover effects between the US stock volatility and China’s stock market crash risk.… read more here.
Keywords: crash risk; china stock; stock market; market crash ... See more keywords