Stock Market Regulation in China

The “Cubic Law of the Stock Returns” in emerging markets

“…Furthermore, as a result, a new model of tail distribution for emerging markets is required. For future research, firstly, to be more accurate, one may consider including more emerging markets and find the best truncation level in tail estimation of stock returns in each emerging market instead of using same 15% truncation for all the emerging markets in this paper; secondly, some other common factors in emerging markets could be nested into the model, such as lack of financial liberalisation (De Santis and Imrohoroglu, 1997;Stulz, 1999;Mishkin, 2001;Holmes and Wong, 2001;Schmukler and Kaminsky, 2003), large share of retail investors in the composition of market participants (Vatnick, 2008;Aggarwal and Rao, 1990;Busse, 1999;Chopra et al, 1992) and stricter financial regulation (Girard and Biswas, 2007;Sharma, 2013)…”