Cookies?
Library Header Image
LSE Research Online LSE Library Services

A tale of two indexes: predicting equity market downturns in China

Lleo, Sebastien and Ziemba, William (2017) A tale of two indexes: predicting equity market downturns in China. Systemic Risk Centre Discussion Papers (72). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

[img] Text (dp-72_0) - Published Version
Download (978kB)

Abstract

Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly for use on mature financial markets. In this paper, we investigate whether traditional crash predictors, the price-to-earnings ratio, the Cyclically Adjusted Price-to-Earnings ratio and the Bond-Stock Earnings Yield Differential model, predicts crashes for the Shanghai Stock Exchange Composite Index and the Shenzhen Stock Exchange Composite Index.

Item Type: Monograph (Discussion Paper)
Official URL: https://www.systemicrisk.ac.uk/
Additional Information: © 2017 The Authors
Divisions: Systemic Risk Centre
Subjects: H Social Sciences > HC Economic History and Conditions
H Social Sciences > HG Finance
JEL classification: G - Financial Economics > G1 - General Financial Markets > G10 - General
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
Date Deposited: 07 Nov 2017 15:28
Last Modified: 15 Sep 2023 23:42
Projects: ES/K002309/1
Funders: Economic and Social Research Council
URI: http://eprints.lse.ac.uk/id/eprint/85131

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics