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- W854967921 abstract "This paper examines stock returns, volatility, and cointegration among three Chinese stock markets before and after Hong Kong's return to China. The average daily returns are much higher during the first sub-period (from April 1991 to June 1997) and significantly lower or even negative during the second sub-period (from July 1997 to December 2002). The mean adjusted change in volatility is negatively and significantly correlated with the lagged returns. This negative relation is mainly caused by a contemporaneous and significantly positive correlation between returns and volatility in the first sub-period. This significant relationship disappears for the Shanghai and Shenzhen Stock Exchanges and is even negative for the Hong Kong Stock Exchange during the second sub-period. Three Chinese stock markets are cointegrated over the entire sample period and become more closely related after Hong Kong's return to China. Our results have important implications for both policy makers and individual investors." @default.
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- W854967921 date "2005-01-01" @default.
- W854967921 modified "2023-09-27" @default.
- W854967921 title "Stock Returns, Volatility, and Cointegration among Chinese Stock Markets" @default.
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