Inflation And The Subsequent Timing Of The Chinese Stock Market
This paper examines market-timing strategies based on inflation in a sample of three stock market indices drawn from the Shanghai and the Shenzhen Stock Exchanges between February 2002 and May 2010. Specifically, this study investigates the effectiveness of market-timing activity and its stabilit...
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| Main Authors: | , , |
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| 格式: | Article |
| 語言: | English |
| 出版: |
Asian Academy of Management (AAM)
2014
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| 主題: | |
| 在線閱讀: | http://eprints.usm.my/40022/1/AAMJAF_10-2-2_%2813-35%29.pdf http://eprints.usm.my/40022/ http://web.usm.my/journal/aamjaf/10-2-2-2014.html |
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| 總結: | This paper examines market-timing strategies based on inflation in a sample of three
stock market indices drawn from the Shanghai and the Shenzhen Stock Exchanges
between February 2002 and May 2010. Specifically, this study investigates the
effectiveness of market-timing activity and its stability over time when using inflation.
Consistent with previous studies, the results reveal significantly strong information
conveyed through inflation in helping investors earn profits in excess of a buy-and-hold
strategy. The nature of the information and the subsequent importance of the
corresponding market-timing activity change over time, providing new evidence of timevarying investment opportunities in the Chinese stock market. The results of this study
imply that the Chinese stock market has predictable components that can be exploited
using information on inflation. However, this practice might experience time variations in
a real-time framework, which draws investors' attention to asset allocation under
economic uncertainty. |
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