Asymmetry in Return Reversals or Asymmetry in Volatilities? - New Evidence from New Markets
Quantitative Finance 2011
Posted: 4 Dec 2013
Date Written: February 1, 2011
Abstract
The paper analyses asymmetry in return reversals and in time-varying volatilities and their interactions using daily returns on the Shanghai Stock Exchange and Shenzhen Stock Exchange. It is concluded that asymmetry in volatilities arises from unconfirmed asymmetry in return reversals, or ambiguity in asymmetry in return reversals.
Keywords: Asymmetry; Econometrics of financial markets; Empirical time series analysis
JEL Classification: G1, C22
Suggested Citation: Suggested Citation
Wang, Ping and Wang, Peijie, Asymmetry in Return Reversals or Asymmetry in Volatilities? - New Evidence from New Markets (February 1, 2011). Quantitative Finance 2011, Available at SSRN: https://ssrn.com/abstract=2362328
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