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Whether stock market provides high returns: evidence from skewness of individual stocks in China

Whether stock market provides high returns: evidence from skewness of individual stocks in China This paper studies whether individual stocks provide higher returns than government bond in the Chinese market.Design/methodology/approachThe authors compare individual stock returns and government bond returns in the Chinese market.FindingsThe authors find that more than half of individual stocks underperform government bonds over the same period in China, which highlights the important role of positive skewness in the distribution of individual stock returns. The high return of a few stocks is the reason why the stock market return is higher than that of government bond in China.Originality/valueThe results of this paper emphasize that portfolio diversification plays an important role in the Chinese market. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png China Finance Review International Emerald Publishing

Whether stock market provides high returns: evidence from skewness of individual stocks in China

China Finance Review International , Volume 11 (2): 16 – Apr 27, 2021

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Publisher
Emerald Publishing
Copyright
© Emerald Publishing Limited
ISSN
2044-1398
DOI
10.1108/cfri-12-2019-0162
Publisher site
See Article on Publisher Site

Abstract

This paper studies whether individual stocks provide higher returns than government bond in the Chinese market.Design/methodology/approachThe authors compare individual stock returns and government bond returns in the Chinese market.FindingsThe authors find that more than half of individual stocks underperform government bonds over the same period in China, which highlights the important role of positive skewness in the distribution of individual stock returns. The high return of a few stocks is the reason why the stock market return is higher than that of government bond in China.Originality/valueThe results of this paper emphasize that portfolio diversification plays an important role in the Chinese market.

Journal

China Finance Review InternationalEmerald Publishing

Published: Apr 27, 2021

Keywords: Skewness; Individual stock returns; Government bond returns; Chinese stock market

References