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- W3004071782 abstract "This research examines the relationship between stock returns and volatility in Chinese stock market and finds that in contrast with the negative relation between market returns and volatility in the mature stock markets in developed countries, their relation in Chinese stock market is dependent on whether the market returns are positive or negative. The contemporary volatility or its change is the most important factor in determining market return. The relation between market returns and volatility observed in this study is consistent with a behavioral explanation with extrapolation bias and herding instinct rather than those relating to a longer-term lagged effect between return and volatility. Combination of contemporaneous and lagged perceived risk as measured by the lower partial moment (or their changes) and contemporaneous and lagged volatility (or their changes) has more explanation power for the market returns than just contemporaneous and lagged volatility (or their changes). The perceived risk and market returns have a negative relation in Chinese stock market, which is similar to the negative relation between volatility and market returns in the mature stock markets. This result shows that there is some feedback effect in the relation between market returns and perceived risk in Chinese stock market." @default.
- W3004071782 created "2020-02-07" @default.
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- W3004071782 date "2010-01-01" @default.
- W3004071782 modified "2023-09-24" @default.
- W3004071782 title "The Return-Volatility Relation in Chinese Stock Market and its Behavioral Explanation" @default.
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- W3004071782 doi "https://doi.org/10.2139/ssrn.1912262" @default.
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