Why Does Return Volatility Differ in Chinese Stock Markets?

Dongwei Su

Jinan University - Finance Department

Belton M. Fleisher

Ohio State University (OSU) - Economics; Institute for the Study of Labor (IZA)

Pacific-Basin Finance Journal

We estimate a modified mixture of distribution model (Andersen, 1996) to explore the underlying causes of the volatility differences between domestic A shares and foreign B shares listed in Chinese stock markets. Using return and trading volume data for 24 firms as well as value-weighted portfolios constructed, we obtain parameter estimates characterizing the distribution of the underlying news information flows. We find evidence that news enters the A-share market more intensively, is more correlated with A-share trading, and is more persistent for A shares than for B shares. Our cross-sectional test results also indicate that some of the greater return volatility for A-shares is due to variation in firm's profits, firm size, and a substantially larger number of investors leading to a high probability of trading on a given news flow.

Note: This is a description of the paper and not the actual abstract.

JEL Classification: G12, G15

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Date posted: August 23, 1999  

Suggested Citation

Su, Dongwei and Fleisher, Belton M., Why Does Return Volatility Differ in Chinese Stock Markets?. Pacific-Basin Finance Journal. Available at SSRN: http://ssrn.com/abstract=164473

Contact Information

Dongwei Su (Contact Author)
Jinan University - Finance Department ( email )
Department of Finance
Jinan University
Guangzhou, Guangdong 510632
Belton M. Fleisher
Ohio State University (OSU) - Economics ( email )
410 Arps Hall
1945 N. High St.
Columbus, OH 43210-1172
United States
614-292-6429 (Phone)
614-292-3906 (Fax)
HOME PAGE: http://economics.sbs.ohio-state.edu/Fleisher/
Institute for the Study of Labor (IZA)

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