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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Asian Academy of Management (AAM)
2014
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| Subjects: | |
| Online Access: | http://eprints.usm.my/40022/ http://eprints.usm.my/40022/1/AAMJAF_10-2-2_%2813-35%29.pdf |
| _version_ | 1848878906932723712 |
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| author | Hui , Hong O'Brien, Fergal Ryan, James |
| author_facet | Hui , Hong O'Brien, Fergal Ryan, James |
| author_sort | Hui , Hong |
| building | USM Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-15T17:38:47Z |
| format | Article |
| id | usm-40022 |
| institution | Universiti Sains Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T17:38:47Z |
| publishDate | 2014 |
| publisher | Asian Academy of Management (AAM) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | usm-400222018-04-11T03:55:11Z http://eprints.usm.my/40022/ Inflation And The Subsequent Timing Of The Chinese Stock Market Hui , Hong O'Brien, Fergal Ryan, James HD28-70 Management. Industrial Management 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. Asian Academy of Management (AAM) 2014 Article PeerReviewed application/pdf en http://eprints.usm.my/40022/1/AAMJAF_10-2-2_%2813-35%29.pdf Hui , Hong and O'Brien, Fergal and Ryan, James (2014) Inflation And The Subsequent Timing Of The Chinese Stock Market. Asian Academy of Management Journal of Accounting and Finance, 10 (2). pp. 1-23. ISSN 1823-4992 http://web.usm.my/journal/aamjaf/10-2-2-2014.html |
| spellingShingle | HD28-70 Management. Industrial Management Hui , Hong O'Brien, Fergal Ryan, James Inflation And The Subsequent Timing Of The Chinese Stock Market |
| title | Inflation And The Subsequent Timing Of The
Chinese Stock Market |
| title_full | Inflation And The Subsequent Timing Of The
Chinese Stock Market |
| title_fullStr | Inflation And The Subsequent Timing Of The
Chinese Stock Market |
| title_full_unstemmed | Inflation And The Subsequent Timing Of The
Chinese Stock Market |
| title_short | Inflation And The Subsequent Timing Of The
Chinese Stock Market |
| title_sort | inflation and the subsequent timing of the
chinese stock market |
| topic | HD28-70 Management. Industrial Management |
| url | http://eprints.usm.my/40022/ http://eprints.usm.my/40022/ http://eprints.usm.my/40022/1/AAMJAF_10-2-2_%2813-35%29.pdf |