Abstract
Abstract 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.
摘要
利用一个新的计量方法, 即混合数据样本法 (MIDAS), 对一个重要的新生市场 (中国股市) 进行研究, 可得出如下结论: 一、 在子样本期间1 (1993–2001), 中国股市不存在风险收益替代关系, 然而在子样本期间2 (2001–2005), 则发现了显著的证据, 这说明市场在后期变得更为成熟, 风险得到更合理的补偿; 二、 通过比较 MIDAS 与传统的 GARCH 类模型的结果, 发现前面结论是稳健的, 而且 MIDAS 和 GARCH 方法都比简单的滚动窗口法有更好的表现。
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Kong, D., Liu, H. & Wang, L. Is there a risk-return trade-off? Evidences from Chinese stock markets. Front. Econ. China 3, 1–23 (2008). https://doi.org/10.1007/s11459-008-0001-0
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DOI: https://doi.org/10.1007/s11459-008-0001-0