Time-Varying Return Predictability in the Chinese Stock Market
China’s stock market is the largest emerging market in the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependencies. We study the predictability of returns in the Chinese stock market by employing the wild bootstrap...
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| Format: | Article |
| Language: | English |
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World Scientific Publishing
2017-03-01
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| Series: | Reports in Advances of Physical Sciences |
| Subjects: | |
| Online Access: | http://www.worldscientific.com/doi/pdf/10.1142/S2424942417400023 |
| _version_ | 1811267308439470080 |
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| author | Huai-Long Shi Zhi-Qiang Jiang Wei-Xing Zhou |
| author_facet | Huai-Long Shi Zhi-Qiang Jiang Wei-Xing Zhou |
| author_sort | Huai-Long Shi |
| collection | DOAJ |
| description | China’s stock market is the largest emerging market in the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependencies. 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 a significant return predictability is observed around market turmoils. Our findings are consistent with the Adaptive Markets Hypothesis (AMH) and have practical implications for market participants and policy makers. A predictability index can be constructed for each asset, which might help warn a crisis is in store, ease the development of the ongoing bubble, and stabilize the market. |
| first_indexed | 2024-04-12T21:00:19Z |
| format | Article |
| id | doaj.art-5fe0c69a698045f7998d9cf498a54b83 |
| institution | Directory Open Access Journal |
| issn | 2424-9424 2529-752X |
| language | English |
| last_indexed | 2024-04-12T21:00:19Z |
| publishDate | 2017-03-01 |
| publisher | World Scientific Publishing |
| record_format | Article |
| series | Reports in Advances of Physical Sciences |
| spelling | doaj.art-5fe0c69a698045f7998d9cf498a54b832022-12-22T03:16:51ZengWorld Scientific PublishingReports in Advances of Physical Sciences2424-94242529-752X2017-03-01111740002-11740002-1110.1142/S242494241740002310.1142/S2424942417400023Time-Varying Return Predictability in the Chinese Stock MarketHuai-Long Shi0Zhi-Qiang Jiang1Wei-Xing Zhou2Department of Finance and Research Center for Econophysics, East China University of Science and Technology, 130 Meilong Road, Shanghai 200237, P. R. ChinaDepartment of Finance and Research Center for Econophysics, East China University of Science and Technology, 130 Meilong Road, Shanghai 200237, P. R. ChinaDepartment of Finance, Department of Mathematics and Research Center for Econophysics, East China University of Science and Technology, 130 Meilong Road, Shanghai 200237, P. R. ChinaChina’s stock market is the largest emerging market in the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependencies. 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 a significant return predictability is observed around market turmoils. Our findings are consistent with the Adaptive Markets Hypothesis (AMH) and have practical implications for market participants and policy makers. A predictability index can be constructed for each asset, which might help warn a crisis is in store, ease the development of the ongoing bubble, and stabilize the market.http://www.worldscientific.com/doi/pdf/10.1142/S2424942417400023Econophysicsreturn predictabilityadaptive market hypothesisvariance ratio testgeneralized spectral test |
| spellingShingle | Huai-Long Shi Zhi-Qiang Jiang Wei-Xing Zhou Time-Varying Return Predictability in the Chinese Stock Market Reports in Advances of Physical Sciences Econophysics return predictability adaptive market hypothesis variance ratio test generalized spectral test |
| title | Time-Varying Return Predictability in the Chinese Stock Market |
| title_full | Time-Varying Return Predictability in the Chinese Stock Market |
| title_fullStr | Time-Varying Return Predictability in the Chinese Stock Market |
| title_full_unstemmed | Time-Varying Return Predictability in the Chinese Stock Market |
| title_short | Time-Varying Return Predictability in the Chinese Stock Market |
| title_sort | time varying return predictability in the chinese stock market |
| topic | Econophysics return predictability adaptive market hypothesis variance ratio test generalized spectral test |
| url | http://www.worldscientific.com/doi/pdf/10.1142/S2424942417400023 |
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