ORCID Profile
0000-0002-7408-4054
Current Organisation
Deakin University
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Publisher: Emerald
Date: 03-10-2016
Abstract: 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. 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. 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 ersified. 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. This paper fills the literature gap by establishing the cyclical behaviour of stock markets.
Publisher: Elsevier BV
Date: 06-2019
Publisher: Elsevier BV
Date: 12-2021
Publisher: Wiley
Date: 16-01-2018
DOI: 10.1111/IERE.12264
Publisher: Wiley
Date: 22-03-2016
DOI: 10.1111/TWEC.12390
Publisher: Elsevier BV
Date: 02-2019
Publisher: Springer Science and Business Media LLC
Date: 03-2011
Publisher: Elsevier BV
Date: 09-2013
Publisher: Elsevier BV
Date: 09-2013
Publisher: The Econometric Society
Date: 05-2005
Publisher: Wiley
Date: 25-02-2016
Publisher: Elsevier BV
Date: 04-2013
Publisher: Elsevier BV
Date: 03-2011
Publisher: Wiley
Date: 16-04-2013
DOI: 10.1111/ECCA.12023
No related grants have been discovered for Xueli Tang.