TY - JOUR
T1 - The Dynamic Industry Return Predictability: Evidence from Chinese Stock Markets
AU - Zhang, Wenlong
AU - Zhang, Yanying
AU - Zhang, Gaiyan
AU - Han, Ke
AU - Chen, Lirong
N1 - This paper examines the dynamics, direction, and determinants of industry return predictability in Chinese stock markets during the period 1993-2015. Using the dynamic approach, we find that industry portfolio predictability is time varying and has wide variations across industries.
PY - 2019/12/31
Y1 - 2019/12/31
N2 - This paper examines the dynamics, direction, and determinants of industry return predictability in Chinese stock markets during the period 1993–2015. Using the dynamic approach, we find that industry portfolio predictability is time varying and has wide variations across industries. Lagged returns in four industries (banking, real estate, leasing, and information technology) are positively associated with aggregate market returns, while lagged returns for traditional industries are largely inversely associated with market returns. Our findings are consistent with gradual information diffusion across economically-linked industries. The likelihood of industry predictability increases by 4.5–8% in a bull market over that in the bear market. Our results advise investors to distinguish industries and stock market conditions to better time the market.
AB - This paper examines the dynamics, direction, and determinants of industry return predictability in Chinese stock markets during the period 1993–2015. Using the dynamic approach, we find that industry portfolio predictability is time varying and has wide variations across industries. Lagged returns in four industries (banking, real estate, leasing, and information technology) are positively associated with aggregate market returns, while lagged returns for traditional industries are largely inversely associated with market returns. Our findings are consistent with gradual information diffusion across economically-linked industries. The likelihood of industry predictability increases by 4.5–8% in a bull market over that in the bear market. Our results advise investors to distinguish industries and stock market conditions to better time the market.
KW - Chinese stock markets
KW - bull and bear markets
KW - crisis
KW - industry return predictability
UR - https://www.tandfonline.com/doi/full/10.1080/1540496X.2019.1624952
U2 - 10.1080/1540496X.2019.1624952
DO - 10.1080/1540496X.2019.1624952
M3 - Article
JO - Emerging Markets Finance and Trade
JF - Emerging Markets Finance and Trade
ER -