Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 庄太量教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1111/j.1540-6288.2010.00294.x |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/3Scopus source URL
其它资讯
摘要This paper studies the duration properties of the Chinese stock market cycle. We find evidence for duration dependence in both A-share and B-share markets for whole cycles. The results reject the random-walk hypotheses for both markets. For half cycles, evidence of duration dependence for expansions in the ShanghaiA-share market is found. For the Shenzhen B-share market, there is little evidence of duration dependence for half cycles. Although the Bshare market is less liquid as compared to the A-share market, the results of this study suggest that the B-share market is more efficient than the A-share market. An important implication is that the quality of market participants plays an important role in the duration property of the Chinese stock market. ? 2011, The Eastern Finance Association.
着者Chen H., Tai-Leung Chong T., Li Z.
期刊名称Financial Review
出版年份2011
月份2
日期1
卷号46
期次1
出版社Wiley-Blackwell
出版地United States
页次151 - 164
国际标準期刊号07http://aims.cuhk.edu.hk/converis/portal/Publication/32-8516
语言英式英语
关键词Duration dependence, Moving average, Stock market cycles
