Chinese Stock Market Cyclical Regimes: 1991-2006

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

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Chinese Stock Market Cyclical Regimes: 1991-2006

Date

2007

Authors

Yan, Wu

Powell, John G

Shi, Jing

Xu, Wei

Publisher

Elsevier

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.