کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7365438 | 1479148 | 2017 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
International volatility risk and Chinese stock return predictability
ترجمه فارسی عنوان
خطر نوسان بین المللی و پیش بینی بودن بازگشت سهام چین
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
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 volatility risks are negatively associated with contemporaneous Chinese daily overnight stock returns, while positively forecast next-day Chinese daytime stock returns. The US volatility risk (ÎVIX) is particularly powerful in forecasting Chinese stock returns, and plays a dominant role relative to the other six international volatility measures. ÎVIX's forecasting power remains strong after controlling for Chinese domestic volatility and is robust in- and out-of-sample. Economically, high ÎVIX forecasts high Chinese domestic market volatility, low trading activity, and low market liquidity, indicating that both ICAPM and liquidity risk help to explain international volatility risks' predictive power for Chinese stock returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 70, February 2017, Pages 183-203
Journal: Journal of International Money and Finance - Volume 70, February 2017, Pages 183-203
نویسندگان
Jian Chen, Fuwei Jiang, Yangshu Liu, Jun Tu,