Time-varying return predictability in the Chinese stock market

Huai-Long Shi, Zhi-Qiang Jiang and Wei-Xing Zhou
Additional contact information
Huai-Long Shi: ECUST
Zhi-Qiang Jiang: ECUST

Papers from arXiv.org

Abstract: China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. We study the predictability of returns in the Chinese stock market by employing the wild bootstrap automatic variance ratio test and the generalized spectral test. We find that the return predictability vary over time and significant return predictability is observed around market turmoils. Our findings are consistent with the Adaptive Markets Hypothesis and have practical implications for market participants.

Date: 2016-11
New Economics Papers: this item is included in nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Reports in Advances of Physical Sciences 1 (1), 1740002 (2017)

Downloads: (external link)
http://arxiv.org/pdf/1611.04090 Latest version (application/pdf)

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: https://EconPapers.repec.org/RePEc:arx:papers:1611.04090

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().