Department of Economics and Business Economics

Testing for Expected Return and Market Price of Risk in Chinese A-B Share Markets: A Geometric Brownian Motion and Multivariate GARCH Model Approach

Research output: Working paperResearch

  • Jie Zhu, Denmark
  • School of Economics and Management
Original languageEnglish
Number of pages37
Publication statusPublished - 2007

    Research areas

  • China, stock market, market segmentation, expected return, market price of risk, GBM, GARCH

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ID: 10012002