Are Chinese Stock Market Cycles Duration Independent?

• Published in: The Financial review (Buffalo, N.Y.) Vol. 46; no. 1; pp. 151 - 164
• Main Authors: Chen, Haiqiang, Chong, Terence Tai-Leung, Li, Zimu
• Format: Journal Article
• Language: English
• Published: Malden, USA Blackwell Publishing Inc 01.02.2011; Blackwell Publishing Ltd
• Subjects: C41; Comparative analysis; duration dependence; Efficient markets; Liquidity; moving average; Securities markets; Stock exchanges; stock market cycles; Studies; China
• ISSN: 0732-8516; 1540-6288
• DOI: 10.1111/j.1540-6288.2010.00294.x

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.