The style and innate structure of the stock markets in China

Wen Long, Henry M.K. Mok, Yan Hu and Huiwen Wang

Pacific-Basin Finance Journal, 2009, vol. 17, issue 2, 224-242

Abstract: By applying symbolic principal component analysis (SPCA) to 10Â years (1996-2005) of interquartile data, we find that two factors--corporate style and corporate performance--parsimoniously characterize the innate structure of the Chinese stock markets. Further analysis shows that the seemingly peculiar negative beta/return relation is not truly anomalous but is associated to using a very high risk-free rate, pervasive negative returns, and stock styles. The negative returns in recent years coincided with the bearish stock market, which started in mid-2001. Time-indexed zoom-star plots also confirm a trend of high speculation on growth stocks in recent years.

Keywords: Stock; style; Innate; structure; SPCA; Interquartile; values; Zoom-star; plots (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:17:y:2009:i:2:p:224-242

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