The reverse volatility asymmetry in Chinese financial market

References

• Andersen, B. and Dobrev, D. (2007) No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. Noise: theory and testable distributional implications, Journal of Econometrics, 138, 125–80. doi:10.1016/j.jeconom.2006.05.018
   Web of Science ®Google Scholar
• Andersen, T. G., Bollerslev, T., Diebold, F. X. et al. (2001a) The distribution of realized stock return volatility, Journal of Financial Economics, 61, 43–76. doi:10.1016/S0304-405X(01)00055-1
   Web of Science ®Google Scholar
• Andersen, T. G., Bollerslev, T., Diebold, F. X. et al. (2001b) The distribution of realized exchange rate volatility, Journal of the American Statistical Association, 96, 42–55. doi:10.1198/016214501750332965
   Web of Science ®Google Scholar
• Andersen, T. G., Bollerslev, T., Diebold, F. X. et al. (2003) Modeling and forecasting realized volatility, Econometrica, 71, 579–625. doi:10.1111/1468-0262.00418
   Web of Science ®Google Scholar
• Ané, T. and Métais, C. (2010) Jumps distribution characteristics: evidence from European stock markets, International Journal of Business and Economics, 9, 1–22.
   Google Scholar
• Barndorff-Nielsen, O. E., Graversen, S. E., Jacod, J. et al. (2006) A central limit theorem for realized power and bipower variations of continuous semimartingales, in From Stochastic Calculus to Mathematical Finance: The Shiryaev Festschrift, Kabanov, Y., Lipster, R. and Stoyanov, J. (Eds), Springer, Berlin, pp. 33–68.
   Google Scholar
• Barndorff-Nielsen, O. E. and Shephard, N. (2002) Econometric analysis of realized volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical Society: Series B (Statistical Methodology), 64, 253–80. doi:10.1111/1467-9868.00336
   Web of Science ®Google Scholar
• Barndorff-Nielsen, O. E. and Shephard, N. (2004) Power and bipower variation with stochastic volatility and jumps, Journal of Financial Econometrics, 2, 1–37. doi:10.1093/jjfinec/nbh001
   Google Scholar
• Barndorff-Nielsen, O. E. and Shephard, N. (2005) Econometrics of testing for jumps in financial economics using bipower variation, Journal of Financial Econometrics, 4, 1–30. doi:10.1093/jjfinec/nbi022
   Google Scholar
• Barndorff-Nielsen, O. E. and Shephard, N. (2007) Variation, jumps and high frequency data in financial econometrics, in Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress. Econometric Society Monograph, Blundell, R., Torsten, P. and Newey, W. K. (Eds), Cambridge University Press, New York.
   Google Scholar
• Bekaert, G. and Wu, G. (2000) Asymmetric volatility and risk in equity markets, Review of Financial Studies, 13, 1–42.
   Google Scholar
• Black, F. (1976) Studies of stock market volatility changes, in Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section, American Statistical Association, Basic Book Inc., New York, pp. 177–81.
   Google Scholar
• Bollerslev, T., Litvinova, J. and Tauchen, G. (2006) Leverage and volatility feedback effects in high-frequency data, Journal of Financial Econometrics, 4, 353–84.
   Google Scholar
• Bollerslev, T., Law, T. H. and Tauchen, G. (2008) Risk, jumps and diversification, Journal of Econometrics, 144, 234–56. doi:10.1016/j.jeconom.2008.01.006
   Web of Science ®Google Scholar
• Cai, F. and Zheng, L. (2004) Institutional trading and stock returns, Finance Research Letters, 1, 178–89. doi:10.1016/j.frl.2004.06.003
   Google Scholar
• Campbell, J. Y. and Hentschel, L. (1992) No news is good news: an asymmetric model of changing volatility in stock returns, Journal of Financial Economics, 31, 281–318. doi:10.1016/0304-405X(92)90037-X
   Web of Science ®Google Scholar
• Christie, A. A. (1982) The stochastic behavior of common stock variances value, leverage and interest rate effects, Journal of Financial Economics, 10, 407–32. doi:10.1016/0304-405X(82)90018-6
   Web of Science ®Google Scholar
• Corsi, F. (2009) A simple approximate long-memory model of realized volatility, Journal of Financial Econometrics, 7, 174–96.
   Google Scholar
• Corsi, F., Pirino, D. and Renò, R. (2010) Threshold bipower variation and the impact of jumps on volatility forecasting, Journal of Econometrics, 159, 276–88. doi:10.1016/j.jeconom.2010.07.008
   Web of Science ®Google Scholar
• Corsi, F. and Reno, R. (2012) Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling, Journal of Business & Economic Statistics, 30, 368–80.
   Google Scholar
• Cox, J. C. and Ross, S. A. (1976) The valuation of options for alternative stochastic processes, Journal of Financial Economics, 3, 145–66. doi:10.1016/0304-405X(76)90023-4
   Web of Science ®Google Scholar
• Duffee, G. R. (1995) Stock returns and volatility a firm-level analysis, Journal of Financial Economics, 37, 399–420. doi:10.1016/0304-405X(94)00801-7
   Web of Science ®Google Scholar
• Duffie, D., Pan, J. and Singleton, K. (2000) Transform analysis and asset pricing for affine jump-diffusions, Econometrica, 68, 1343–76. doi:10.1111/1468-0262.00164
   Web of Science ®Google Scholar
• Fan, J. (2005) A selective overview of nonparametric methods in financial econometrics, Statistical Science, 20, 317–37. doi:10.1214/088342305000000412
   Web of Science ®Google Scholar
• Florens-Zmirou, D. (1993) On estimating the diffusion coefficient from discrete observations, Journal of Applied Probability, 30, 790–804. doi:10.2307/3214513
   Web of Science ®Google Scholar
• French, K. R., Schwert, G. W. and Stambaugh, R. (1987) Expected stock returns and volatility, Journal of Financial Economics, 19, 3–29. doi:10.1016/0304-405X(87)90026-2
   Web of Science ®Google Scholar
• Gallant, A. R., Rossi, P. E. and Tauchen, G. E. (1992) Stock prices and volume, Review of Financial Studies, 5, 199–242. doi:10.1093/rfs/5.2.199
   Web of Science ®Google Scholar
• Gencay, R. and Selcuk, F. (2004) Volatility-return dynamics across different timescales, Unpublished manuscript, Simon Fraser University, Burnaby.
   Google Scholar
• Huang, X. and Tauchen, G. (2005) The relative contribution of jumps to total price variance, Journal of Financial Econometrics, 3, 456–99. doi:10.1093/jjfinec/nbi025
   Google Scholar
• Jiang, G. and Knight, J. (1997) A nonparametric approach to the estimation of diffusion processes, with an application to A short-term interest rate model, Econometric Theory, 13, 615–45. doi:10.1017/S0266466600006101
   Web of Science ®Google Scholar
• Johannes, M. (2004) The statistical and economic role of jumps in continuous-time interest rate models, The Journal of Finance, 59, 227–60. doi:10.1111/j.1540-6321.2004.00632.x
   Web of Science ®Google Scholar
• Karpoff, J. M. (1987) The relation between price changes and trading volume: a survey, The Journal of Financial and Quantitative Analysis, 22, 109–26. doi:10.2307/2330874
   Web of Science ®Google Scholar
• Mancini, C. (2009) Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps, Scandinavian Journal of Statistics, 36, 270–96.
   Web of Science ®Google Scholar
• Mancini, C. and Reno, R. (2011) Threshold estimation of Markov models with jumps and interest rate modeling, Journal of Econometrics, 160, 77–92. doi:10.1016/j.jeconom.2010.03.019
   Web of Science ®Google Scholar
• Martens, M., Van Dijk, D. and de Pooter, M. (2009) Forecasting S&P 500 volatility: long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements, International Journal of Forecasting, 25, 282–303. doi:10.1016/j.ijforecast.2009.01.010
   Web of Science ®Google Scholar
• Merton, R. C. (1973) An intertemporal capital asset pricing model, Econometrica, 41, 867–87. doi:10.2307/1913811
   Web of Science ®Google Scholar
• Merton, R. C. (1980) On estimating the expected return on the market, Journal of Financial Economics, 8, 323–61. doi:10.1016/0304-405X(80)90007-0
   Web of Science ®Google Scholar
• Nelson, D. B. (1991) Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347–70. doi:10.2307/2938260
   Web of Science ®Google Scholar
• Pindyck, R. S. (1984) Risk, inflation, and the stock market, American Economic Review, 74, 334–51.
   Web of Science ®Google Scholar
• Qiu, T., Zheng, B., Ren, F. et al. (2006) Return–volatility correlation in financial dynamics, Physical Review E, 73, 065103(R). doi:10.1103/PhysRevE.73.065103
   Web of Science ®Google Scholar
• Schwert, G. (1989) Why does stock market volatility change over time?, The Journal of Finance, 44, 1115–53. doi:10.1111/j.1540-6261.1989.tb02647.x
   Web of Science ®Google Scholar
• Shen, J. and Zheng, B. (2009) On return–volatility correlation in financial dynamics, EPL (Europhysics Letters), 88, 28003. doi:10.1209/0295-5075/88/28003
   Web of Science ®Google Scholar
• Stanton, R. (1997) A nonparametric model of term structure dynamics and the market price of interest rate risk, The Journal of Finance, 52, 1973–2002. doi:10.1111/j.1540-6261.1997.tb02748.x
   Web of Science ®Google Scholar
• Xiong, X. and Yu, J. (2011) The Chinese warrants bubble, American Economic Review, 101, 2723–53. doi:10.1257/aer.101.6.2723
   Web of Science ®Google Scholar