Time-varying equity index and bond market premia in China

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dc.coverage.spatial China
dc.creator Li, Wei-Xuan
dc.creator Vishwakarma, Vijay Kumar
dc.date.accessioned 2014-02-04T18:53:45Z
dc.date.available 2014-02-04T18:53:45Z
dc.date.issued 2010
dc.identifier http://library2.smu.ca/bitstream/handle/01/25407/asb_proceedings_2010.pdf#page=240
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/25614
dc.description.abstract This study finds time-varying risk premia for Shanghai and Shenzhen composite indices and T-bills in China. We use Bollerslev, Engle, and Wooldridge’s (1988) multivariate GARCH in mean to estimate the time-varying risk premium. Comparing to the findings in developed countries, our results show that Chinese investors are less risk averse. The equity index premium is quite volatile in the period from 2007 to 2009. en_CA
dc.language.iso en en_CA
dc.publisher Atlantic Schools of Business en_CA
dc.subject.lcsh Financial risk -- China
dc.subject.lcsh Stock price indexes -- China
dc.subject.lcsh Stock exchanges -- China
dc.subject.lcsh Bond market -- China
dc.title Time-varying equity index and bond market premia in China en_CA
dc.type Text en_CA
dcterms.bibliographicCitation Proceedings of the 40th Atlantic Schools of Business conference, Saint Mary's University, 2010, pp 240-253


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