This paper investigates the momentum effects under different firm performance levels for Chinese real estate stocks using quantile regression with a dummy variable estimator. This paper finds that regardless of the momentum horizon, the momentum effects are positive under high-performing...

Using a rolling regression approach with varying independent variables, this paper investigates macroeconomic structural changes in the four main stock markets in China and identifies the threshold values of structural changes. Macroeconomic structural changes frequently occur on the Shanghai...