Asymmetry in return reversals or asymmetry in volatilities?—New evidence from new markets

The paper analyses asymmetry in return reversals and in time-varying volatilities and their interactions using daily returns on the Shanghai Stock Exchange and Shenzhen Stock Exchange. It is concluded that asymmetry in volatilities arises from unconfirmed asymmetry in return reversals, or ambiguity in asymmetry in return reversals.

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Year of publication:	2011
Authors:	Wang, Ping ; Wang, Peijie
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 11.2011, 2, p. 271-285
Publisher:	Taylor & Francis Journals
Subject:	Asymmetry \| Econometrics of financial markets \| Empirical time series analysis \| Return reversals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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