The fast growth of China's economy has brought it not only to the center of the global
economy but also to a transition point in its growth model, a transition from scale to …

The rise of China and fivefold growth of its stock market over the past decade have fueled a
growing literature on this market in financial economics. On the corporate side, researchers …

This paper presents a systematic review of 73 influential publications among 667 journal
articles published in the in the Asia-Pacific finance literature from 2011 to 2015. We map …

We employ bivariate and multivariate nonlinear causality tests to document causality from
equity return dispersion to stock market volatility and excess returns, even after controlling …

We study the Chinese stock market crash of 2015. We find that Chinese investors overreact
to the government policies that may boost the stock market. This overreaction creates the …

We use intraday and daily data to examine the impact of cross-sectional return dispersion on
volatility forecasting in the Chinese equity market. We adopt the GARCH, GJR-GARCH, and …

This paper investigates whether the cross‐sectional variance (CSV) of stock returns and its
asymmetric components contain incremental information to predict stock market volatility …

This research focuses on stock selections for trading strategies based on cross-sections of
stock returns and risk factors in the Ho Chi Minh Stock Exchange (HSX), an emerging …

Abstract The Modern Portfolio (MP) Theory developed by Markowitz discuss the problem of
distribution of asset capitals. Although many studies have discussed the relationship of asset …

Cross sectional return dispersion seems a simple, good, real time gauge of uncertainty.
Internationally, cross-sectional return dispersion correlates strongly with all sorts of …