Time-varying return predictability in the Chinese stock market
arXiv:1611.04090 · doi:10.1142/S2424942417400023
Abstract
China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. 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 significant return predictability is observed around market turmoils. Our findings are consistent with the Adaptive Markets Hypothesis and have practical implications for market participants.
arXiv comment11 Latex pages including 2 figures and 1 table
References in corpus (7)
- Detecting Long-range Correlations with Detrended Fluctuation Analysis
- Detrending moving average algorithm for multifractals
- Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
- Predictability of large future changes in major financial indices
- Testing the weak-form efficiency of the WTI crude oil futures market
- Antibubble and Prediction of China's stock market and Real-Estate
- Market correlation structure changes around the Great Crash
Cited by in corpus (4)
- Time series momentum and contrarian effects in the Chinese stock market
- Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets
- Profitability of simple stationary technical trading rules with high-frequency data of Chinese Index Futures
- Evolving efficiency of the BRICS markets