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Chinese Stock Market Cyclical Regimes: 1991-2006

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

Description

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.

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
URI: http://hdl.handle.net/1885/18235
Source: Economics Letters
DOI: 10.1016/j.econlet.2007.03.014

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