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An empirical investigation of risk-return relations in Chinese equity markets : evidence from aggregate and sectoral data

Chiang, Thomas C.; Zhang, Yuanqing - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-22

This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and sectoral markets. Evidence finds a positive...

Persistent link: https://www.econbiz.de/10011883488

Economic policy uncertainty, risk and stock returns : evidence from G7 stock markets

Chiang, Thomas C. - In: Finance research letters 29 (2019), pp. 41-49

Persistent link: https://www.econbiz.de/10012417704

Empirical analysis of intertemporal relations between downside risks and expected returns : evidence from Asian markets

Chiang, Thomas C. - In: Research in international business and finance 47 (2019), pp. 264-278

Persistent link: https://www.econbiz.de/10012135733

Empirical analysis of real and financial volatilities on stock excess returns : evidence from Taiwan industrial data

Chiang, Thomas C.; Doong, Shuh-Chyi - In: Global finance journal 10 (1999) 2, pp. 187-200

Persistent link: https://www.econbiz.de/10001493043

Stock returns and exchange rate risk : evidence from Asian stock markets based in a bivariate GARCH model

Chiang, Thomas C.; Yang, Sheng Y.; Wang, Tse S. - In: International journal of business 5 (2000) 2, pp. 97-117

Persistent link: https://www.econbiz.de/10001522451

Empirical analysis of stock returns and volatility : evidence from seven Asian stock markets based on TAR-GARCH model

Chiang, Thomas C.; Doong, Shuh-Chyi - In: Review of quantitative finance and accounting 17 (2001) 3, pp. 301-318

Persistent link: https://www.econbiz.de/10001748169

International asset excess returns and multivariate conditional volatilities

Chiang, Thomas C.; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 24 (2005) 3, pp. 295-312

Persistent link: https://www.econbiz.de/10002851961

Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market

Qiao, Zhuo; Chiang, Thomas C.; Wong, Wing Keung - In: Journal of international financial markets, … 18 (2008) 5, pp. 425-437

Persistent link: https://www.econbiz.de/10003775707

Asymmetric return and volatility responses to composite news from stock markets

Chiang, Thomas C.; Chen, Cathy W. S.; So, Mike Ka-pui - In: Multinational finance journal : MF ; quarterly … 11 (2007) 3/4, pp. 179-210

Persistent link: https://www.econbiz.de/10003709545

Empirical analysis of dynamic linkages between China and international stock markets

Chiang, Thomas C.; Chen, Xiaoyu - In: Journal of mathematical finance 6 (2016) 1, pp. 189-212

Persistent link: https://www.econbiz.de/10011543897