Economics at your fingertips  

Understanding the Chinese stock market: international comparison and policy implications

Zhenya Liu and Shixuan Wang ()

Economic and Political Studies, 2017, vol. 5, issue 4, 441-455

Abstract: The definitions of the bear, sidewalk and bull markets are ambiguous in the existing literature. This makes it difficult for practitioners to distinguish between different market conditions. In this paper, we propose statistical definitions of the bear, sidewalk and bull markets, which correspond to the three states in our hidden semi-Markov model. We apply this analysis to the daily returns of the Chinese stock market and seven developed markets. Using the Viterbi algorithm to globally decode the most likely sequence of the market conditions, we systematically find the precise timing of the bear, sidewalk and bull markets for all the eight markets. Through the comparison of the estimation and decoding results, many unique characteristics of the Chinese stock market are revealed, such as ‘crazy bull’, ‘frequent and quick bear’ and ‘no buffer zone’. In China, the bull market is more volatile than in developed markets, the bear market occurs more frequently than in developed markets, and the sidewalk market has not functioned as a buffer zone since 2005. Possible causes of these unique characteristics are also discussed and implications for policy-making are suggested.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

DOI: 10.1080/20954816.2017.1384616

Access Statistics for this article

Economic and Political Studies is currently edited by Qing He and Cunna Li

More articles in Economic and Political Studies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2021-11-26
Handle: RePEc:taf:repsxx:v:5:y:2017:i:4:p:441-455