Time-varying equity index and bond market premia in China

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.description.provenance	Submitted by Trish Grelot (trish.grelot@smu.ca) on 2014-02-04T18:53:45Z No. of bitstreams: 0	en
dc.description.provenance	Made available in DSpace on 2014-02-04T18:53:45Z (GMT). No. of bitstreams: 0 Previous issue date: 2010	en
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