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 journalArticlepeer-review

23 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 languageEnglish
Pages (from-to)235-239
Number of pages5
JournalEconomics Letters
Volume97
Issue number3
DOIs
Publication statusPublished - Dec 2007

Keywords

  • stock market cycles
  • bull and bear market regimes
  • turning points

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