Document Type

Journal Article

Department/Unit

Department of Finance and Decision Sciences

Title

Risk-return characteristics: Comparison of China's stock market and three other emerging markets

Language

English

Abstract

Brazil, Russia, India, and China (BRIC), the most rapidly developing countries in the twenty-first century, are expected to become the four dominant economies by the year 2050. This paper examines the risk and return characteristics of their stock markets over the past few years. The markets in Brazil, Russia, and China produce significantly positive mean excess return. China and Brazil not only have the largest Sharpe ratio, but also have the better fit to a conditional risk-return model in terms of stock returns variations. In all markets, the systematic risk, beta, is still the most important factor in explaining returns variations. Other risk measures, including unsystematic risk, skewness, and kurtosis, provide limited incremental explanatory power. However, while the intercept coefficient in the regression model is not significantly different from zero in Brazil, Russia, and India, the coefficient for China is significantly positive, indicating that the Chinese stock market generates positive abnormal risk-adjusted returns. © 2010 M.E. Sharpe, Inc. All rights reserved.

Publication Date

2010

Source Publication Title

Chinese Economy

Volume

43

Issue

5

Start Page

15

End Page

31

Publisher

ME Sharpe

DOI

10.2753/CES1097-1475430502

Link to Publisher's Edition

http://dx.doi.org/10.2753/CES1097-1475430502

ISSN (print)

10971475

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