 The Chinese Stock Market: A Casino with 'Buffer Zones'?Eric Girardin () and Zhenya Liu Journal of Chinese Economic and Business Studies, 2003, vol. 1, issue 1, 57-70 Abstract: This paper uses Markov-switching techniques to examine the presence of different market conditions on the Shanghai A-share market since the start of active trading in the mid-1990s. The originality of the paper lies in the identification of three contrasting regimes: a speculative market, a bull market and a bear market. Overall, the 'Casino' character of the Chinese stock market is the main feature that is substantiated by the present paper. However, the bull market regime is always a buffer zone between the other two regimes. After early 1997, an investor with a weekly horizon most of the time finds herself in the bear market and makes capital losses. Only during very short periods of 'luck' does she make substantial capital gains, which on average will compensate her for the losses. Keywords: Markov-switching; Chinese Stock Market (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:jocebs:v:1:y:2003:i:1:p:57-70 Ordering information: This journal article can be ordered from DOI: 10.1080/1476528032000039749 Access Statistics for this article Journal of Chinese Economic and Business Studies is currently edited by Professor Xiaming Liu More articles in Journal of Chinese Economic and Business Studies from Taylor & Francis Journals |
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