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 journalJournal articlepeer-review

    12 Citations (Scopus)


    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
    Issue number14
    Publication statusPublished - 1 Oct 2006

    Scopus Subject Areas

    • Finance
    • Economics and Econometrics


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