Investors’ Behaviour in the Chinese Stock Exchanges: Empirical Evidence in a Systemic Approach (original) (raw)
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The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use.
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This paper studies the dynamic behavior of risks and returns in Chinese stock markets. We characterize the time-series properties of stock-market return and volatility. We estimate an empirical model that captures the effect of local and global information variables on the conditional mean of stock-market excess returns and characterize the second order conditional moments using three error generation processes. We find that stock-market volatility is time-varying, mildly persistent, and is best described by a fat-tailed distribution such as the Stable distribution. We also find that government's market intervention policies have affected the stock-market volatility in China.