Risk, return and regulation in Chinese stock markets

Article Abstract:

The existence of low risk-adjusted mean stock returns and high stock-market return volatility were noted in the Chinese stock markets. Such returns maintain a positive autocorrelation mainly with China's stock markets than with other developed markets. Moreover, the variance of stock-market excess returns present in the Chinese stock markets is found to be slightly persistent, time-varying, leptokurtotic and is affected by exogenous variables that characterize government market support and liberalization regulations.

Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors, Securities & Commodities Regulatn, China, Securities, Return on investment, Rate of return

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Asymmetries in the conditional mean and the conditional variance: evidence from nine stock markets

Article Abstract:

An asymmetric reaction to past information was observed in the conditional mean and the conditional variance of index stock returns. An implementation of an Asymmetric Autoregressive Threshold GARCH model on nine national stock markets showed that both the conditional mean and the conditional variance adjust asymmetrically to previous information. It was also shown that the conditional mean of index stock returns also acts as an asymmetric function of previous returns.

Stock price indexes, Information theory

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An examination of predictable risk and return in UK stock returns

Article Abstract:

This paper examines and finds that between the Capital Asset Pricing Model and Arbitrage Pricing Theory Model, the latter is able to explain in most cases the predictability in UK stock returns.

United Kingdom, Statistical Data Included, Usage, Forecasts and trends, Pricing, Securities industry, Arbitrage

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