Volatility and Returns of the New Third Board Market in China

68 Pages Posted: 30 Mar 2016

See all articles by Weiping Li

Weiping Li

Civil Aviation Flight University of China ; Oklahoma State University

Gaoxiu Qiao

Southwest Jiaotong University

Date Written: March 27, 2016

Abstract

In this paper, we analyze the return-volatility relation for the New Third Board market in China. Various properties for cross sectional (daily and weekly) returns and volatility are obtained and interpreted. The cross sectional return-volatility relations are analyzed at weekly frequency and find the evidence of negative relation between the returns and the future changes of volatilities. The contemporaneous relation between returns and volatility is positive, and the relation between returns and one-period-ahead volatility is much weaker. The size effect with return-volatility relation is opposite with Duffee (1995)'s finding for the New York Stock Exchange over the period 1977-1991.

The comprehensive and systemic information about stock returns and volatility and their relations given in this paper can assistant investors and researchers to understand this new financial market in China well.

Keywords: Volatility, Stock Returns, New Third Board in China

Suggested Citation

Li, Weiping and Qiao, Gaoxiu, Volatility and Returns of the New Third Board Market in China (March 27, 2016). 29th Australasian Finance and Banking Conference 2016, Available at SSRN: https://ssrn.com/abstract=2755319 or http://dx.doi.org/10.2139/ssrn.2755319

Weiping Li (Contact Author)

Civil Aviation Flight University of China ( email )

46 Nanchang road
Guanghan, Sichuan 618307
China

Oklahoma State University ( email )

Stillwater, OK
United States

Gaoxiu Qiao

Southwest Jiaotong University ( email )

No. 111, Sec. North 1, Er-Huan Rd.
Chengdu, Sichuan 610031
China

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