 Mechanisms and Performance of Chinese Bear Markets and Policy SuggestionsZiran Li, Jiajing Sun and Michael Cole Chapter 3 in The Chinese Stock Market Volume II, 2015, pp 125-189 from Palgrave Macmillan Abstract: Abstract In the last chapter, which concerned the 2006–2007 bull market, we analyzed and discussed a number of features related to bull markets in China. Specifically, their formation mechanism, performance characteristics, relevant empirical observations related to index design, as well as their terminal signals. This chapter is structured as follows. In the first section, we will detect the bearish/bullish phases of Chinese stock markets and provide some background information and historical facts. In the second section, we will analyze the ‘risk-return’ trade-off relationships in Chinese stock markets with a focus on the differences of these relationship between bearish and bullish phases. In the third section, we will derive an asset pricing model based on information diffusion; and establish a tri-variate trade-off relationship in terms of amplitude, duration and volatility persistence.1 Finally, we will analyze some institutional problems of Chinese stock markets that have emerged during their adjustment phases. Keywords: Stock Market; Conditional Volatility; China Security Regulatory Commission; Chinese Stock Market; Bear Market (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-46469-9_3 Ordering information: This item can be ordered from Access Statistics for this chapter More chapters in Palgrave Macmillan Books from Palgrave Macmillan |
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