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Faculty Selected Works of Gaiyan Zhang
Article
The Dynamic Industry Return Predictability: Evidence from Chinese Stock Markets
Emerging Markets Finance and Trade (2019)
  • Wenlong Zhang, Shanxi University of Finance and Economics
  • Yanying Zhang, Shanxi University of Finance and Economics
  • Gaiyan Zhang, University of Missouri–St. Louis
  • Ke Han, Shanxi University of Finance and Economics
  • Lirong Chen, Shanxi University of Finance and Economics
Link
Abstract
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.
Keywords
  • bull and bear markets,
  • Chinese stock markets,
  • crisis,
  • industry return predictability
Disciplines
Publication Date
December 31, 2019
DOI
10.1080/1540496X.2019.1624952
Citation Information
Wenlong Zhang, Yanying Zhang, Gaiyan Zhang, Ke Han, et al.. "The Dynamic Industry Return Predictability: Evidence from Chinese Stock Markets" Emerging Markets Finance and Trade (2019) p. 1 - 20
Available at: http://works.bepress.com/gaiyan-zhang/39/