Song, Haiyan; Liu, Xiaming; Romilly, Peter - In: International Review of Applied Economics 12 (1998) 1, pp. 129-139
This paper uses GARCH models to analyse the relationship between returns and volatility on the Shanghai and Shenzhen Stock Exchanges in China. Empirical estimates using the sample data from 21 May 1992 to 2 February 1996 suggest that the variances of the returns in the two markets are best...
