Matches in SemOpenAlex for { <https://semopenalex.org/work/W2390966858> ?p ?o ?g. }
Showing items 1 to 71 of
71
with 100 items per page.
- W2390966858 abstract "We examine time series features of stock returns and volatility, as well as the relation between returns and volatility in China's stock markets. Firstly, GARCH and EG ARCH models are employed to generate conditional variance series. The application of the two models provides strong evidences of time-varying volatility. In addition, the results show that the time of high and low volatility tends to converge and volatility is highly persistent and predictable. Then we test the relation between expected returns and expected risk with the GARCH-M model. We find that daily trading volume, used as a proxy for information arrival time, has no significant explanatory power on the conditional volatility of daily returns." @default.
- W2390966858 created "2016-06-24" @default.
- W2390966858 creator A5081916154 @default.
- W2390966858 date "2003-01-01" @default.
- W2390966858 modified "2023-09-25" @default.
- W2390966858 title "An Empirical Study on the Relation between Stock Return and Volatility in the China Stock Markets" @default.
- W2390966858 hasPublicationYear "2003" @default.
- W2390966858 type Work @default.
- W2390966858 sameAs 2390966858 @default.
- W2390966858 citedByCount "0" @default.
- W2390966858 crossrefType "journal-article" @default.
- W2390966858 hasAuthorship W2390966858A5081916154 @default.
- W2390966858 hasConcept C106159729 @default.
- W2390966858 hasConcept C117996083 @default.
- W2390966858 hasConcept C127413603 @default.
- W2390966858 hasConcept C13290067 @default.
- W2390966858 hasConcept C149782125 @default.
- W2390966858 hasConcept C162324750 @default.
- W2390966858 hasConcept C165603445 @default.
- W2390966858 hasConcept C192620184 @default.
- W2390966858 hasConcept C204036174 @default.
- W2390966858 hasConcept C21430997 @default.
- W2390966858 hasConcept C23922673 @default.
- W2390966858 hasConcept C24189920 @default.
- W2390966858 hasConcept C44731940 @default.
- W2390966858 hasConcept C78519656 @default.
- W2390966858 hasConcept C85393063 @default.
- W2390966858 hasConcept C91602232 @default.
- W2390966858 hasConceptScore W2390966858C106159729 @default.
- W2390966858 hasConceptScore W2390966858C117996083 @default.
- W2390966858 hasConceptScore W2390966858C127413603 @default.
- W2390966858 hasConceptScore W2390966858C13290067 @default.
- W2390966858 hasConceptScore W2390966858C149782125 @default.
- W2390966858 hasConceptScore W2390966858C162324750 @default.
- W2390966858 hasConceptScore W2390966858C165603445 @default.
- W2390966858 hasConceptScore W2390966858C192620184 @default.
- W2390966858 hasConceptScore W2390966858C204036174 @default.
- W2390966858 hasConceptScore W2390966858C21430997 @default.
- W2390966858 hasConceptScore W2390966858C23922673 @default.
- W2390966858 hasConceptScore W2390966858C24189920 @default.
- W2390966858 hasConceptScore W2390966858C44731940 @default.
- W2390966858 hasConceptScore W2390966858C78519656 @default.
- W2390966858 hasConceptScore W2390966858C85393063 @default.
- W2390966858 hasConceptScore W2390966858C91602232 @default.
- W2390966858 hasLocation W23909668581 @default.
- W2390966858 hasOpenAccess W2390966858 @default.
- W2390966858 hasPrimaryLocation W23909668581 @default.
- W2390966858 hasRelatedWork W1483189991 @default.
- W2390966858 hasRelatedWork W1528226820 @default.
- W2390966858 hasRelatedWork W1801153014 @default.
- W2390966858 hasRelatedWork W1879215575 @default.
- W2390966858 hasRelatedWork W1917043384 @default.
- W2390966858 hasRelatedWork W1992893498 @default.
- W2390966858 hasRelatedWork W2046696572 @default.
- W2390966858 hasRelatedWork W2075208471 @default.
- W2390966858 hasRelatedWork W2082255185 @default.
- W2390966858 hasRelatedWork W2089765619 @default.
- W2390966858 hasRelatedWork W2127098810 @default.
- W2390966858 hasRelatedWork W2171860317 @default.
- W2390966858 hasRelatedWork W2485139150 @default.
- W2390966858 hasRelatedWork W2646895755 @default.
- W2390966858 hasRelatedWork W2889725564 @default.
- W2390966858 hasRelatedWork W289908041 @default.
- W2390966858 hasRelatedWork W2981580681 @default.
- W2390966858 hasRelatedWork W3123903968 @default.
- W2390966858 hasRelatedWork W3161191871 @default.
- W2390966858 hasRelatedWork W3166366605 @default.
- W2390966858 isParatext "false" @default.
- W2390966858 isRetracted "false" @default.
- W2390966858 magId "2390966858" @default.
- W2390966858 workType "article" @default.