A Positive Risk-Return Trade-off in Chinese Stock Market Evidence from High Frequency Data

摘要

This research divides the sample data of Chinese stock markets into two periods: 1996-2000 and 20012009. The stock market reform acted by the government in 2000 is the boundary. The study examines the changes of the risk-return tradeoff patterns in Chinese stock markets by using the modified GARCH models. The results indicate the risk-return relation in Chinese stock markets is constantly positive. And the investors' risk aversion tends to decrease after the reform. Also by using the Granger cause test, the study document the conditional variances of Shanghai index and Shenzhen index Granger cause each other in both periods. This is a clear evidence of cross spillover effect. And the general GARCH (1,1) model indicate a wear-form efficiency market.