Why Does Return Volatility Differ in Chinese Stock Markets?
Jinan University - Finance Department
Belton M. Fleisher
Ohio State University (OSU) - Department of 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, G15Accepted Paper Series
Date posted: August 23, 1999
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo5 in 0.312 seconds