International volatility risk and Chinese stock return predictability

详细信息    查看全文

• 作者：Jian Chen^a ; Fuwei Jiang^b ; ^{jfuwei@gmail.com} ; Yangshu Liu^c ; ^{ysliu@xmu.edu.cn} ; Jun Tu^d ; ^{tujun@smu.edu.sg}
• 关键词：C22 ; C53 ; G11 ; G12 ; G17
• 刊名：Journal of International Money and Finance
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：70
• 期：Complete
• 页码：183-203
• 全文大小：453 K
• 卷排序：70

文摘

The international volatility risks are negatively associated with contemporaneous Chinese daily overnight stock returns. The international volatility risks positively forecast next-day Chinese daytime stock returns. The US volatility risk plays a dominant role in forecasting Chinese daytime stock returns. High US volatility risk forecasts high Chinese domestic market volatility, low trading activity, and low market liquidity.