In this paper, we employ a three-state hidden semi-Markov model (HSMM) to explain the time-varying distribution of the Chinese stock market returns since 2005. Our results indicate that the time-varying distribution depends on the hidden states, which are represented by three market conditions,...

In comparison to developed securities markets, it is intriguing to observe that the Chinese stock market's momentum or reversal effect is inconsistent. We address this controversy using a novel paradigm based on functional data analysis (FDA) with the goal of reconciling previous inconsistency....

This study develops a new economic uncertainty (EU) index based on Chinese newspapers by addressing the media coverage bias of existing measures. The developed index refines the existing methods on measuring uncertainty by taking special characteristics of China into consideration, which turns...