Trading VolumeThis paper investigates volatility persistence and its impact on risk premium in China stock market. Employing GARCH model, the paper shows that stock return volatility is highly persistent. The high persistence accounts for part of the changes in the risk premium. The paper also uses...
China still has no influence on international commodity price. The determinants of China's commodity futures risk premium are an integral part of China's commodity futures pricing mechanism. Therefore,discussion on factors of commodity futures risk premium has great academic and practical implications ...
Volatility Risk Premium, Return Predictability, and ESG Sentiment: Evidence from China's Spots and Options' Markets This study investigates the volatility risk premium on the emerging financial market. We also consider the expected return and ESG sentiment. Based on the ... Z Liu,S Wang,S Liu...
Value at risk and return in Chinese and the US stock markets: double long memory and fractional cointegration However, there is only a volatility feedback effect in China stock markets. Besides, there is a leverage effect in the US market, while Chinese market... ZT A,BX B,YH A,... ...
rising excess returns and declining long-term yield changes over short term,so there is an "expectation puzzle" in China.The predictability of term structure changed with the development of the money market.And in the end,there may be some arbitrage opportunities since risk premium can be ...
We examine the roles of risk-sharing and other factors in stock price revaluation during a recent liberalization episode in China. Consistent with the theoretical prediction that liberalizations reduce systematic risk, we find that risk-sharing explains approximately one-fourth of the price revaluation ...
After direct control of audit effort through audit hours, we f n a statistically significant relationship between the company financial distress and audit risk and audit fees paid to non-Big 4 auditors, which provide empirical evidence that fee contain a risk premium. Supplemental analyses show ...
Economics & Country Risk and Maritime & Trade Talk have merged into The Decisive Podcast. Next in Tech Deep insights into what’s new and what’s next in technology, industries and companies as they design and implement digital infrastructure. ...
market risk premium using a unique data set on traded volume between banks and between banks and the Riksbank. We find that the main determinants of the Swedish interbank premium are international variables, such as US and EURO area risk premia. Internationalexchange rate volatilityand the EURO/...
The sustainable development of a modern equity market heavily relies on an effective IPO system that can properly reflect the underlying risk, demand, and supply in the IPO market. Recently, China has implemented an unprecedented IPO reform that transforms the previous approval-based IPO system to ...