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| Research on the Securities Risk-Return Tradeoff in China |
| Menggen Chen |
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Abstract This paper investigates the risk-return tradeoff in the Chinese
emerging stock markets. The empirical results show that the dynamic
risk-return relationship is quite different between Shanghai and
Shenzhen stock markets. A positive and statistically significant
risk-return tradeoff is found in Shenzhen stock market, while the
conditional mean of stock return is negatively but insignificantly
related to its conditional variance in Shanghai except for the
CGARCH-M model. The variance of stock return usually has a
significant persistent effect, and the asymmetric effect is also
statistically significant in both markets.
DOI: 10.12733/jics20101714
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