Introducing non-linear dynamics to the two-regime market model: Evidence

Woodward, George; Marisetty, Vijaya B.

doi:10.1016/j.qref.2005.04.001

Cited by 11 publications

(8 citation statements)

References 26 publications

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“…8 8 The bull‐bear differential of our estimated monthly return is larger than that of Yan, Powell, Shi, and Xu (2007). This should be interpreted with caution, as it may not reflect the real situation.…”

mentioning

confidence: 81%

“…The average weekly return (and standard deviation) for expansions is 2.8% (12%), and for contractions is −1.6% (4%). A direct comparison of the average phase returns with those in Yan, Powell, Shi, and Xu (2007) cannot be made, since different methods and data are employed. The average monthly return reported by Yan, Powell, Shi, and Xu (2007) for the Shanghai market is 7.53% per month in bull markets, while the average monthly loss is −5.00% in bear markets.…”

Section: Datamentioning

confidence: 99%

“…A direct comparison of the average phase returns with those in Yan, Powell, Shi, and Xu (2007) cannot be made, since different methods and data are employed. The average monthly return reported by Yan, Powell, Shi, and Xu (2007) for the Shanghai market is 7.53% per month in bull markets, while the average monthly loss is −5.00% in bear markets. To make an indirect comparison, we can multiply our weekly returns for expansions and contractions by four, which gives a monthly return of 11.2% and −6.4%, respectively 8…”

Section: Datamentioning

confidence: 99%

“…A stock market is said to move from contraction to expansion if stock prices have risen for a substantial period since their previous (local) troughs. Yan, Powell, Shi, and Xu (2007) also apply the BB‐type definition to examine Chinese stock market cycles. Bai, Chen, and Chong (2011) use both price and turnover information to identify Hong Kong stock market cycles.…”

Section: Introductionmentioning

confidence: 99%

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Are Chinese Stock Market Cycles Duration Independent?

Chen

Chong

2011

Financial Review

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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 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.

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mentioning

confidence: 81%

Section: Datamentioning

confidence: 99%

Section: Datamentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Are Chinese Stock Market Cycles Duration Independent?

Chen

Chong

2011

Financial Review

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“…The present section further investigates whether the state of the market is a potential source of nonlinearity in the Asian returns series (see Maheu and McCurdy, 2000;Woodward and Marisetty, 2005). To explore this possibility, we need to identify the state of the market for each of the 73 non-overlapped time windows.…”

Section: Exploring the Role Of Market States In Generating Nonlinear mentioning

confidence: 99%