International Volatility Risk and Chinese Stock Return Predictability

• المؤلفون الرئيسيون: CHEN, Jian, JIANG, Fuwei, LIU, Yangshu, Jun TU
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2017
• الموضوعات: Return predictability; Implied volatility; Chinese stock market; ICAPM; Liquidity risk; Asian Studies; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: 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

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...