Bilateral Systematic Risks and Their Empirical Research in Chinese Stock Market
GU Meng-di · Journal of Management Sciences · 2007
Asset pricing model based on the representative investor′s preference to upside risk and aversion to downside risk is put forward and bilateral systematic risks are separated from the total volatility using this asset pricing model.Using daily return of Chinese stock markets from 1996 to 2003,the empirical test indicates: the absolute value of bilateral systematic risks are all decreasing because of the standardization of stock markets and the policy of price limits;the ratios of systematic risks to total volatility are unstable through the sampled period,and these trends are accorded with the informational strikes in the period.