Financial risk, uncertainty and expected returns: evidence from Chinese equity markets

Volume: 9, Issue: 4, Pages: 425 - 454
Published: Jul 17, 2019
Abstract
Purpose The purpose of this paper is to investigate the risk and economic policy uncertainty (EPU) shocks on China’s equity markets while controlling for changes in sentiments and liquidity. Design/methodology/approach The GED-TARCH(1,1)-M procedure is used in estimations to deal with the heteroscedasticity problem. Findings Evidence shows that stock returns are positively correlated with predictable volatility and lagged downside risk. This...
Paper Details
Title
Financial risk, uncertainty and expected returns: evidence from Chinese equity markets
Published Date
Jul 17, 2019
Volume
9
Issue
4
Pages
425 - 454
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