The interaction and volatility asymmetry of unexpected returns in the greater China stock markets

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Do cross-border mergers and acquisitions increase short-term market performance? The case of Chinese firms (2017, background): “…behaviour means that the impact of good news (positive unexpected shock) on future volatility is larger than that of bad news (negative unexpected shock) of the same magnitude (Yeh & Lee, 2000) and could lead to different market reactions to cross-border M&A activities by Chinese firms.”
International linkages of the Chinese stock exchanges: a multivariate GARCH analysis (2007, background): “The results about the asymmetric responses in the mainland Chinese indices contradict Yeh and Lee (2000). Their study do not find any evidence of asymmetric response to negative shocks in mainland China and attribute the investor behaviour there as chasing good news.”