Purpose – The purpose of this paper is to study how the market correlation changes in Chinese stock market and how the market correlation affects stock returns. Design/methodology/approach – The authors first examine the relationship between the market correlation and the market return....

Purpose–The purpose of this paper is to study how the market correlation changes in Chinese stock market and how the market correlation affects stock returns. Design/methodology/approach -The authors first examine the relationship between the market correlation and the market return. Then, the...