Chinese stock market cyclical regimes: 1991-2006

Wu Yan; John G. Powell; Jing Shi; Wei Xu

doi:10.1016/j.econlet.2007.03.014

Chinese stock market cyclical regimes: 1991-2006

Wu Yan, John G. Powell, Jing Shi^*, Wei Xu

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

29 Citations (Scopus)

Abstract

Chinese bull and bear market regimes are objectively identified and their statistical properties outlined. Chinese market cycles are extremely pronounced but have moderated as the market matures. Ex-ante trading rule tests indicate the usefulness of regime identification for Chinese investors.

Original language	English
Pages (from-to)	235-239
Number of pages	5
Journal	Economics Letters
Volume	97
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2007.03.014
Publication status	Published - Dec 2007

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10.1016/j.econlet.2007.03.014

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title = "Chinese stock market cyclical regimes: 1991-2006",

abstract = "Chinese bull and bear market regimes are objectively identified and their statistical properties outlined. Chinese market cycles are extremely pronounced but have moderated as the market matures. Ex-ante trading rule tests indicate the usefulness of regime identification for Chinese investors.",

keywords = "Bull and bear market regimes, Stock market cycles, Turning points",

author = "Wu Yan and Powell, \{John G.\} and Jing Shi and Wei Xu",

year = "2007",

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AU - Shi, Jing

AU - Xu, Wei

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AB - Chinese bull and bear market regimes are objectively identified and their statistical properties outlined. Chinese market cycles are extremely pronounced but have moderated as the market matures. Ex-ante trading rule tests indicate the usefulness of regime identification for Chinese investors.

KW - Bull and bear market regimes

KW - Stock market cycles

KW - Turning points

UR - https://www.scopus.com/pages/publications/34548664364

U2 - 10.1016/j.econlet.2007.03.014

DO - 10.1016/j.econlet.2007.03.014

M3 - Article

SN - 0165-1765

VL - 97

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JO - Economics Letters

JF - Economics Letters

IS - 3

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Chinese stock market cyclical regimes: 1991-2006

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