Classifying Chinese bull and bear markets: indices and individual stocks

Chi, W, Brooks, R, Bissoondoyal-Bheenick, E and Tang, X 2016, 'Classifying Chinese bull and bear markets: indices and individual stocks', Studies in Economics and Finance, vol. 33, no. 4, pp. 509-531.

Document type: Journal Article
Collection: Journal Articles

Title Classifying Chinese bull and bear markets: indices and individual stocks
Author(s) Chi, W
Brooks, R
Bissoondoyal-Bheenick, E
Tang, X
Year 2016
Journal name Studies in Economics and Finance
Volume number 33
Issue number 4
Start page 509
End page 531
Total pages 23
Publisher Emerald Publishing Limited
Abstract 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.
Subject Finance
Keyword(s) Bull and bear markets
Emerging market
Markov switching
Overlapping intervals
DOI - identifier 10.1108/SEF-01-2015-0036
Copyright notice © Emerald Group Publishing Limited
ISSN 1086-7376
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