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Asymmetry Effects in Chinese Stock Markets Volatility: A Generalized Additive Nonparametric Approach
University of Southern Denmark, Denmark.
2013 (English)In: Journal of international financial markets, institutions, and money, ISSN 1042-4431, E-ISSN 1873-0612, Vol. 23, 12-32 p.Article in journal (Refereed) Published
Abstract [en]

The unique characteristics of the Chinese stock markets make it difficult to assume a particular distribution for innovations in returns and the specification form of the volatility process when modelling return volatility with the parametric GARCH family models. This paper therefore applies a generalized additive nonparametric smoothing technique to examine the volatility of the Chinese stock markets. The empirical results indicate that an asymmetric effect of negative news exists in the Chinese stock markets. Furthermore, compared with other parametric models, the generalized additive nonparametric model demonstrates a better performance for return volatility forecasts, particularly for the out-of-sample forecast. The results from this paper have important implications in risk management, portfolio selection, and hedging strategy.

Place, publisher, year, edition, pages
2013. Vol. 23, 12-32 p.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-116969DOI: 10.1016/j.intfin.2012.08.003OAI: oai:DiVA.org:su-116969DiVA: diva2:809625
Available from: 2015-05-04 Created: 2015-05-04 Last updated: 2017-12-04Bibliographically approved

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CiteExportLink to record
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