International Volatility Risk and Chinese Stock Return Predictability

• Main Authors: CHEN, Jian, JIANG, Fuwei, LIU, Yangshu, Jun TU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: Return predictability; Implied volatility; Chinese stock market; ICAPM; Liquidity risk; Asian Studies; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5080; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6079/viewcontent/International_volatility_risk_Chinese_stock_2016_afv.pdf
• Institution: Singapore Management University

This paper investigates the predictive ability of international volatility risks for the daily Chinese stock market returns. We employ the innovations in implied volatility indexes of seven major international markets as our international volatility risk proxies. We find that international volatilit...