Is There A Difference Between Domestic And Foreign Risk Premium? The Case Of China Stock Market
2014 ◽
Vol 30
(5)
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pp. 1287
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This article studies the dynamic return and market price of risk for Chinese stocks (A-B shares). A Multivariate DCC-GARCH model is used to capture the feature of time-varying volatility in stock returns. We show evidence of different pricing mechanisms explained by the difference in the expected return and market price of risk between A and B shares. However, the significance of the difference between market prices of risk disappears if GARCH models are used.
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2015 ◽
Vol 16
(2)
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pp. 105-119
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2009 ◽
Vol 79
(8)
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pp. 2633-2653
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2007 ◽
Vol 10
(07)
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pp. 1159-1190
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