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Mechanisms and Performance of Chinese Bear Markets and Policy Suggestions

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The Chinese Stock Market Volume II

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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.

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Authors
  1. Ziran Li
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  2. Jiajing Sun
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  3. Michael Cole
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Editors and Affiliations

  1. China

    Siwei Cheng (Statesman and Economist) (Statesman and Economist)

  2. CFFEX Institute for Financial Derivatives, China

    Ziran Li

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© 2015 Ziran Li, Jiajing Sun and Michael Cole

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Li, Z., Sun, J., Cole, M. (2015). Mechanisms and Performance of Chinese Bear Markets and Policy Suggestions. In: Cheng, S., Li, Z. (eds) The Chinese Stock Market Volume II. Palgrave Macmillan, London. https://doi.org/10.1057/9781137464699_3

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