Risk-return relationships in the Hong Kong stock market: Revisit

Gordon Y N TANG*, Wai Cheong Shum

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

9 Citations (Scopus)

Abstract

This study revisits the risk-return relationships in the Hong Kong stock market using a conditional model based on up and down markets. Beta is found significantly and positively (negatively) related to realized returns when the market excess returns are positive (negative). The same results are found for unsystematic risk, total risk and kurtosis of stock returns during up and down markets when they are added to the model. Furthermore, skewness is significantly but negatively (positively) related to realized returns during up (down) markets. These results indicate that other risk measures in addition to beta are also important in pricing risky assets and investors do not hold diversified portfolios in this market. Moreover, the results support investors' preference that they prefer positive skewness but dislike kurtosis.

Original languageEnglish
Pages (from-to)1047-1058
Number of pages12
JournalApplied Financial Economics
Volume16
Issue number14
DOIs
Publication statusPublished - 1 Oct 2006

Scopus Subject Areas

  • Finance
  • Economics and Econometrics

Fingerprint

Dive into the research topics of 'Risk-return relationships in the Hong Kong stock market: Revisit'. Together they form a unique fingerprint.

Cite this