Chinese stock market cyclical regimes: 1991-2006

被引：21

作者：

Yan, Wu

Powell, John G.

Shi, Jing ^{[1
]}

Xu, Wei

机构：

[1] Australian Natl Univ, Sch Finance & Appl Stat, Canberra, ACT 0200, Australia

[2] Jiangxi Univ Finance & Econ, Nanchang 30013, Peoples R China

[3] Massey Univ, Palmerston North, New Zealand

[4] China Pharmaceut Univ, Nanjing 210038, Peoples R China

来源：

ECONOMICS LETTERS | 2007年 / 97卷 / 03期

关键词：

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

D O I：

10.1016/j.econlet.2007.03.014

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：235 / 239

页数：5

共 7 条

[1]

Bry G., 1971, CYCLICAL ANAL TIME S

[2]

Canova F, 1998, J MONETARY ECON, V41, P475, DOI 10.1016/S0304-3932(98)00006-3

[3] Spurious regressions in financial economics? [J].