Classifying Chinese bull and bear markets : indices and individual stocks

Chi, Wei, Brooks, Robert, Bissoondoyal-Bheenick, Emawtee and Tang, Xueli 2016, Classifying Chinese bull and bear markets : indices and individual stocks, Studies in economics and finance, vol. 33, no. 4, pp. 509-531, doi: 10.1108/SEF-01-2015-0036.

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Title Classifying Chinese bull and bear markets : indices and individual stocks
Author(s) Chi, Wei
Brooks, Robert
Bissoondoyal-Bheenick, Emawtee
Tang, XueliORCID iD for Tang, Xueli
Journal name Studies in economics and finance
Volume number 33
Issue number 4
Start page 509
End page 531
Total pages 23
Publisher Emerald Group Publishing
Place of publication Bingley, Eng.
Publication date 2016
ISSN 1086-7376
Keyword(s) Emerging market
Bull and bear markets
Markov switching
Overlapping intervals
Summary Purpose: This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it fluctuated greatly until 2010. However, the cyclical behaviour of stock markets during this period is less well established. This paper aims to answer the question why the Chinese stock market experienced a long duration of bear market and what factors would have impacted this cyclical behaviour. Design/methodology/approach: By comparing the intervals of bull and bear markets between stocks and indices based on a Markov switching model, this paper examines whether different industries or A- and B-share markets could lead to different stock market cyclical behaviour and whether firm size can determine the relationship between the firm stock cycles on the market cycles. Findings: This paper finds a high degree of overlapping of bear cycles between stocks and indices and a high level of overlapping between the bear market and a fraction of stock with increasing stock prices. This leads to the conclusion that the stock performance and trading behaviour are widely diversified. Furthermore, the paper finds that the same industry may have different overlapping intervals of bull or bear cycles in the Shanghai and Shenzhen stock markets. Firms with different sizes could have different overlapping intervals with bull or bear cycles. Originality/value: This paper fills the literature gap by establishing the cyclical behaviour of stock markets.
Language eng
DOI 10.1108/SEF-01-2015-0036
Field of Research 140207 Financial Economics
1402 Applied Economics
1502 Banking, Finance And Investment
Socio Economic Objective 910109 Savings and Investments
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Emerald Group Publishing Limited
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Document type: Journal Article
Collections: Faculty of Business and Law
Department of Economics
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