A tale of two indexes: predicting equity market downturns in China

Sebastien Lleo and William Ziemba

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly for use on mature financial markets. In this paper, we investigate whether traditional crash predictors, the price-to-earnings ratio, the Cyclically Adjusted Price-to-Earnings ratio and the Bond-Stock Earnings Yield Differential model, predicts crashes for the Shanghai Stock Exchange Composite Index and the Shenzhen Stock Exchange Composite Index.

Keywords: equity markets; crashes; China; BSEYD; CAPE (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 G15 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2017-08-22
New Economics Papers: this item is included in nep-cna, nep-fmk, nep-rmg and nep-tra
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http://eprints.lse.ac.uk/85131/ Open access version. (application/pdf)

Related works:
Working Paper: A tale of two indexes: predicting equity market downturns in China (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:85131

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