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

Tianning Ma (School of Management Science and Engineering, Central University of Finance and Economics, Beijing, China)
Shuo Li (Tianjin University, Tianjin, China) (China Transport Telecommunicationa and Information Center, Beijing, China)
Xu Feng (Tianjin University, Tianjin, China)

China Finance Review International

ISSN: 2044-1398

Article publication date: 7 September 2020

Issue publication date: 27 April 2021

191

Abstract

Purpose

This paper studies whether individual stocks provide higher returns than government bond in the Chinese market.

Design/methodology/approach

The authors compare individual stock returns and government bond returns in the Chinese market.

Findings

The 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/value

The results of this paper emphasize that portfolio diversification plays an important role in the Chinese market.

Keywords

Citation

Ma, T., Li, S. and Feng, X. (2021), "Whether stock market provides high returns: evidence from skewness of individual stocks in China", China Finance Review International, Vol. 11 No. 2, pp. 185-200. https://doi.org/10.1108/CFRI-12-2019-0162

Publisher

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Emerald Publishing Limited

Copyright © 2020, Emerald Publishing Limited

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