Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market
In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Long, Ling [verfasserIn] |
|---|
| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2014transfer abstract |
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| Umfang: |
14 |
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| Übergeordnetes Werk: |
Enthalten in: Enzyme and Au nanoparticles encapsulated ZIF-8 for glucose responsive closed-loop drug delivery - Yin, Zichu ELSEVIER, 2021, Amsterdam |
|---|---|
| Übergeordnetes Werk: |
volume:37 ; year:2014 ; pages:89-102 ; extent:14 |
| Links: |
|---|
| DOI / URN: |
10.1016/j.econmod.2013.11.002 |
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ELV017409497 |
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| 520 | |a In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification. | ||
| 520 | |a In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification. | ||
| 700 | 1 | |a Tsui, Albert K. |4 oth | |
| 700 | 1 | |a Zhang, Zhaoyong |4 oth | |
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10.1016/j.econmod.2013.11.002 doi GBVA2014008000006.pica (DE-627)ELV017409497 (ELSEVIER)S0264-9993(13)00485-9 DE-627 ger DE-627 rakwb eng 330 330 DE-600 530 600 670 VZ 51.00 bkl Long, Ling verfasserin aut Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market 2014transfer abstract 14 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification. In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification. Tsui, Albert K. oth Zhang, Zhaoyong oth Enthalten in Elsevier [u.a.] Yin, Zichu ELSEVIER Enzyme and Au nanoparticles encapsulated ZIF-8 for glucose responsive closed-loop drug delivery 2021 Amsterdam (DE-627)ELV006300197 volume:37 year:2014 pages:89-102 extent:14 https://doi.org/10.1016/j.econmod.2013.11.002 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 51.00 Werkstoffkunde: Allgemeines VZ AR 37 2014 89-102 14 045F 330 |
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10.1016/j.econmod.2013.11.002 doi GBVA2014008000006.pica (DE-627)ELV017409497 (ELSEVIER)S0264-9993(13)00485-9 DE-627 ger DE-627 rakwb eng 330 330 DE-600 530 600 670 VZ 51.00 bkl Long, Ling verfasserin aut Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market 2014transfer abstract 14 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification. In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification. Tsui, Albert K. oth Zhang, Zhaoyong oth Enthalten in Elsevier [u.a.] Yin, Zichu ELSEVIER Enzyme and Au nanoparticles encapsulated ZIF-8 for glucose responsive closed-loop drug delivery 2021 Amsterdam (DE-627)ELV006300197 volume:37 year:2014 pages:89-102 extent:14 https://doi.org/10.1016/j.econmod.2013.11.002 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 51.00 Werkstoffkunde: Allgemeines VZ AR 37 2014 89-102 14 045F 330 |
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10.1016/j.econmod.2013.11.002 doi GBVA2014008000006.pica (DE-627)ELV017409497 (ELSEVIER)S0264-9993(13)00485-9 DE-627 ger DE-627 rakwb eng 330 330 DE-600 530 600 670 VZ 51.00 bkl Long, Ling verfasserin aut Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market 2014transfer abstract 14 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification. In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification. Tsui, Albert K. oth Zhang, Zhaoyong oth Enthalten in Elsevier [u.a.] Yin, Zichu ELSEVIER Enzyme and Au nanoparticles encapsulated ZIF-8 for glucose responsive closed-loop drug delivery 2021 Amsterdam (DE-627)ELV006300197 volume:37 year:2014 pages:89-102 extent:14 https://doi.org/10.1016/j.econmod.2013.11.002 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 51.00 Werkstoffkunde: Allgemeines VZ AR 37 2014 89-102 14 045F 330 |
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10.1016/j.econmod.2013.11.002 doi GBVA2014008000006.pica (DE-627)ELV017409497 (ELSEVIER)S0264-9993(13)00485-9 DE-627 ger DE-627 rakwb eng 330 330 DE-600 530 600 670 VZ 51.00 bkl Long, Ling verfasserin aut Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market 2014transfer abstract 14 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification. In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification. Tsui, Albert K. oth Zhang, Zhaoyong oth Enthalten in Elsevier [u.a.] Yin, Zichu ELSEVIER Enzyme and Au nanoparticles encapsulated ZIF-8 for glucose responsive closed-loop drug delivery 2021 Amsterdam (DE-627)ELV006300197 volume:37 year:2014 pages:89-102 extent:14 https://doi.org/10.1016/j.econmod.2013.11.002 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 51.00 Werkstoffkunde: Allgemeines VZ AR 37 2014 89-102 14 045F 330 |
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Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market |
| abstract |
In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification. |
| abstractGer |
In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification. |
| abstract_unstemmed |
In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the leverage effect in the Chinese stock markets, and to capture the dynamics of conditional correlation between returns of China's stock markets and those of the U.S. in a bivariate VC-MGARCH framework. The results show that the leverage effect is significant in these markets during the sample period in 2000–2013, and the conditional correlation between mainland China's and the U.S. stock markets is quite low and highly volatile. The Chinese stock markets are found to be highly regimes persistent. These findings have important implication for investors seeking opportunity of portfolio diversification. |
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| title_short |
Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market |
| url |
https://doi.org/10.1016/j.econmod.2013.11.002 |
| remote_bool |
true |
| author2 |
Tsui, Albert K. Zhang, Zhaoyong |
| author2Str |
Tsui, Albert K. Zhang, Zhaoyong |
| ppnlink |
ELV006300197 |
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| author2_role |
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| doi_str |
10.1016/j.econmod.2013.11.002 |
| up_date |
2024-07-06T21:53:55.194Z |
| _version_ |
1803868265718480896 |
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