Is there a risk-return trade-off? Evidences from Chinese stock markets

被引：18

作者：

Kong, Dongmin ^{[1
]}

Liu, Hening ^{[2
]}

Wang, Le ^{[3
]}

机构：

[1] Huazhong Univ Sci & Technol, Dept Finance, Wuhan 430074, Peoples R China

[2] Northern Illinois Univ, Dept Econ, De Kalb, IL 60115 USA

[3] Univ Minnesota, Populat Ctr, Minneapolis, MN 55455 USA

来源：

FRONTIERS OF ECONOMICS IN CHINA | 2008年 / 3卷 / 01期

基金：

英国科研创新办公室;

关键词：

risk-return trade-off; MIDAS; Chinese stock markets;

D O I：

10.1007/s11459-008-0001-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Employing a recently developed method-mixed data sampling (MIDAS) approach-to assess the risk-return trade-off for Chinese stock markets, our results are striking. First, we fail to find any evidence of the risk- return trade-off in the first subsample (Jan 1993-Jan 2001), while we do find the existence of such relationship in the second subsample (Feb 2001-Dec 2005); such results suggest that as the markets become more mature, risks are compensated more properly. Second, we also compare the MIDAS results with the results obtained from conventional approaches such as the GARCH-type model. Our results are reasonably robust to the methods that we use, and the MIDAS and GARCH-type approaches outperform rolling-window approach in terms of modeling volatility.

引用

页码：1 / 23

页数：23