Cross-sectional return dispersion and volatility prediction

QR Code

Cross-sectional return dispersion and volatility prediction

We use intraday and daily data to examine the impact of cross-sectional return dispersion on volatility forecasting in the Chinese equity market. We adopt the GARCH, GJR-GARCH, and HAR models and, by augmenting them with return dispersion measures, provide empirical evidence that the return dispersi...

Full description

Bibliographic Details
Main Authors:	Fei, Tianlun, Liu, Xiaoquan, Wen, Conghua
Format:	Article
Language:	English
Published:	2019
Subjects:	Industry Effect; Chinese CSI Index; Herding; Financial Markets.
Online Access:	https://eprints.nottingham.ac.uk/59531/

Similar Items

Volatility modeling and prediction: the role of price impact
by: Jiang, Ying, et al.
Published: (2019)

The impact of launching Stock Index Futures on the volatility of the Chinese stock market
by: Liu, Mengxi
Published: (2008)

International Cross-Listing of Chinese Firms
by: Liu, Li Xian
Published: (2014)

Examining the herding behavior in Chinese Stock Market
by: Xu, Yan
Published: (2006)

Financial advisors and corporate investment
by: Wang, Danni
Published: (2021)

Cross-sectional return predictability: the predictive power of return asymmetry, skewness and tail risk
by: Xu, Zhongxiang
Published: (2017)

A Firm-Level Analysis Of The Relationship Between Gasoline Prices, Oil Prices and the Returns of Chinese Stocks
by: Wang, Hongtai
Published: (2020)

Disease-induced herd immunity and household epidemic models
by: Critcher, Liam
Published: (2025)

Volatility Forecasting during Stock Disaster in China A-share Stock Market
by: BAO, JINGYI
Published: (2018)

Risk, return, and investor behavior in the Chinese equity market
by: Fei, Tianlun
Published: (2020)

Prediction of body condition score in dairy cows using routine electronic data capture
by: Nelson, Rebecca
Published: (2025)

Herding where retail investors dominate trading: The case of Saudi Arabia
by: Rahman, A., et al.
Published: (2015)

COVID-19 and Chinese stock prices: a volatility analysis
by: Suixin, Gao
Published: (2024)

Adaptive Channel Coding and Modulation Scheme Selection for Achieving High Throughput in Wireless Networks
by: Sharif, Atif, et al.
Published: (2010)

Modeling volatility of the KLCI daily returns / Siti Meriam Zahid ... [et al.]
by: Zahid, Siti Meriam, et al.
Published: (2006)

Impact of a quadrivalent meningococcal ACWY glycoconjugate or a serogroup B meningococcal vaccine on meningococcal carriage: an observer-blind, phase 3 randomised clinical trial
by: Read, Robert C., et al.
Published: (2014)

Risk, return and market condition: a new functional-beta capital asset pricing model
by: Zhuang, Yuchen
Published: (2009)

The Effects of Macroeconomic Variables on Stock Market in China: The Case of CSI 300
by: YAO, Jiaming
Published: (2019)

Volatility forecasting in the Chinese commodity futures market with intraday data
by: Ying, Jiang, et al.
Published: (2016)

Association of season and herd size with somatic cell count for cows in Irish,English, and Welsh dairy herds
by: Archer, Simon C., et al.
Published: (2013)

Management interventions in dairy herds: exploring within herd uncertainty using an integrated Bayesian model
by: Green, Martin J., et al.
Published: (2009)

Herd behaviour in financial markets: an experimental approach
by: Nguyen, Thien Kim
Published: (2020)

Stock Market Efficiency and Momentum Effect:Evidence from Chinese Stock Market
by: Zheng, Huiyi
Published: (2020)

The Chinese stock market and economic activity.
by: Yao, Juan
Published: (1998)

ASSESSING THE EFFECTIVENESS OF THE IMAGE: MALDIVES AS A DESTINATION FOR CHINESE MARKET
by: Zahir, Zeeniya
Published: (2006)

Comparison of multilevel PWM versus interleaved based sinewave shaping for two-stage current source inverters used in PV applications
by: Papadopoulos, Savvas, et al.
Published: (2013)

Liquidity, consumption, and the cross-sectional returns
by: Luo, Di
Published: (2014)

Deepening financial reforms in China
by: Luo, Dan
Published: (2014)

An Empirical Analysis of Herding Behaviour in The US Mutual Funds Industry
by: Bui, Phuong Tram
Published: (2018)

Return and volatility spillover eﬀects: Evaluating the impact of Shanghai and Shenzhen-Hongkong Stock Connect Programs on A-H-US stock markets ---An empirical analysis based on VAR-GARCH model
by: JI, BAIHAO
Published: (2019)

The effectiveness of corporate governance and audit quality on earnings management in Chinese public companies
by: Liu, Yan
Published: (2022)

A dynamic investigation into the predictability of Australian industry stock returns
by: Yao, Juan
Published: (2004)

A Study of Relationship Marketing in Chinese Retail market
by: Xue, Qiusha
Published: (2007)

A study on the performance of symmetric and asymmetric GARCH models in estimating stock returns volatility
by: Islam, Mohd Aminul
Published: (2014)

Strategy and Performance of Foreign Institutional Investors in Chinese Stock Market
by: Cao, Wenjuan
Published: (2007)

Does market structure matter?Trading costs and return volatility around exchange listings
by: Bessembinder, H., et al.
Published: (2008)

Characterising refractive index dispersion in chalcogenide glasses
by: Fang, Y., et al.
Published: (2016)

Marketing financial products and services from the perspective of a branch manager of a bank's new branch : a case study
by: Mohd Nasir, Shamshul Bahrn
Published: (1996)

Yhwh's battle against chaos in Ezekiel: the transformation of Judahite mythology for a new situation
by: Strine, C.A., et al.
Published: (2013)

The analyse of how will the organisational factors influence the international retail companies' choice of entry mode when entering Chinese market.
by: Zhang, Yixin
Published: (2017)