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Are Chinese Stock Market Cycles Duration Independent?
Author(s) -
Chen Haiqiang,
Chong Terence TaiLeung,
Li Zimu
Publication year - 2011
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.2010.00294.x
Subject(s) - duration (music) , market share , market share analysis , stock market , market microstructure , economics , market depth , financial economics , stock (firearms) , business , monetary economics , order (exchange) , finance , mechanical engineering , art , literature , engineering , paleontology , horse , biology
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 Shanghai A‐share market is found. For the Shenzhen B‐share market, there is little evidence of duration dependence for half cycles. Although the B‐share 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.