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首页> 外文期刊>The North American journal of economics and finance >Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration
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Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration

机译：中文和美国股市风险和返回的价值：双重记忆和分数协整

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摘要

Given that the United States is an engine of global stock market while China is the largest emerging market with a cornucopia of anomalies in particular, it is vital to investigate the risk-return relationship in the two markets. This paper brings new insights not only into risk-return tradeoff, but also to the leverage effect, with the application of the fractionally co-integrated vector auto-regression (FCVAR) model capturing the fractional cointegrated relationship and long memory property. Results show that China stock markets own the property of double long memory but the US markets don't. Most of all, in the US market, a positive risk-return tradeoff exists for the whole sample while after the crisis, even we find the negative relation, it's not a volatility feedback effect but low risk and high returns. 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 exhibits a reverse one, another anomaly, indicating significant difference in the two markets again.
机译：鉴于美国是全球股票市场的发动机，而中国是最大的新兴市场，特别是具有异常的高级市场，这对调查两种市场的风险回报关系至关重要。本文不仅为风险回报权衡提供了新的洞察力，还具有杠杆效应，以及应用分数共同集成的传染料自动回归（FCVAR）模型捕获分数协整的关系和长内存属性。结果表明，中国股市拥有双倍历史记忆的财产，但美国市场没有。大多数情况下，在美国市场，在危机之后，整个样本都存在正面的风险回报权衡，即使我们找到负面关系，也不是波动反馈效果，但风险低，回报率低。但是，中国股票市场只有波动反馈效果。此外，美国市场存在杠杆效果，而中国市场展示了反向的另一个异常，表明两个市场的显着差异。

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