Why Does Return Volatility Difier in Chinese Stock Markets?
نویسندگان
چکیده
We estimate a dynamic model under Anderson’s Modifled Mixture of Distribution Hypothesis (MMDH) to explore the underlying causes of the volatility difierences between China’s domestic A shares and foreign B shares. We flnd evidence that some of the greater return volatility for A-shares is due to a substantially larger number of investors leading to a higher probability of trading on a given \news" °ow.
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