Stock Returns and Volatility on China's Stock Markets

By Cheng-Few Lee, Gong-meng Chen, Oliver M. Rui. 2001

192 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d43e402de65c3df36cac117ad985ac72d18f658f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. R. Cong
2. Cheng Hsiao
3. Andrew C. Worthington
4. P. Basu
5. Qi Li
6. Rakesh Gupta
7. Jian Yang
8. Benjamin Miranda Tabak

In Finance

1. P. Basu
2. Cheng Hsiao
3. Qi Li
4. Rakesh Gupta
5. R. Cong
6. Jian Yang
7. Benjamin Miranda Tabak
8. Alex Y. Lo

Citations in the corpus

• Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore (2004, background): “On the other hand Lee et al. (2001) reject the hypothesis that stock returns follow the RWH for the shares traded in both the Shanghai and Shenzhen stock”
• The Relationship between Stock Returns and Volatility in International Stock Markets (2005, background): “We are 1 The use of the stock return is consistent with Baillie and DeGennarro (1990), Nelson (1991), Choudhry (1996), and Lee et al. (2001), among others.”
• Random walks and market efficiency in European equity markets (2004, background): “These include studies of random walks in Korea (Ayadi and Pyun 1994, Ryoo and Smith 2002), China (Lee et al. 2001), Hong Kong (Cheung and Coutts 2001), Slovenia (Dezlan 2000), Spain (Regúlez and Zarraga 2002), the Czech Republic (Hajek 2002), Portugal (Manuel et al. 2002), the United Kingdom (Poon…”
• Emission trading and carbon market performance in Shenzhen, China (2017, methodology): “As a normal expansion of GARCH model, GARCH-M has been widely used in the research of risk premium of financial market, especially the stock market [61, 72-74].”
• The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship (2015, unknown): “Theodossiou and Lee (1995) and Lee et al. (2001) show there is a positive relationship between stock market returns and the conditional variance in the international markets.”
• Weak Form Efficiency In Indian Stock Markets (2011, background): “Some of the recent studies, testing the random walk hypothesis (in effect testing for weak form efficiency in the markets) are; Korea (Ryoo and Smith, 2002; this study uses a variance ratio test and find the market to follow a random walk process if the price limits are relaxed during the period Mar”