List of Tables

Table 2.1 Major equity market scandals in China， 1992 – 1997 / 19

Table 2.2 Examples of centralisation of financial market supervision in China， 1997 – 2004 / 21

Table 2.3 Examples of preparation for privatisation in China，1997 – 2004 / 21

Table 2.4 Number of listed companies – China versus selected developed markets， 1993 – 2010 / 24

Table 2.5 Number of shares issued and amount of capital raised in the year， China， 1993 – 2010 / 26

Table 2.6 Significance of the equity market capitalisation in terms of the overall national economy – China versus selected developed markets， 2002 – 2010 / 28

Table 2.7 Distribution characteristics of daily equity market returns–China versus selected developed markets， 1993 – 2010 / 30

Table 2.8 Ten largest up and down days on the Shanghai A-share market， 1993 – 2010 / 32

Table 2.9 Simulation of investments on SHA， 1993 – 2010 / 33

Table 2.10 Measures of market downturn risk in China， 1993 – 2010 / 34

Table 2.11 Fundamental statistics on A-share and B-share markets，1993 – 2010 / 36

Table 2.12 Correlations among A-share and B-share markets across stock exchanges， 1993 – 2010 / 38

Table 2.13 Annual returns of major equity indices – China versus selected developed markets， 1993 – 2010 / 38

Table 2.14 Correlations among selected major indices， 1993 – 2010 / 40

Table 2.15 Distribution of listed securities – SZSE， 1993 – 2010 / 42

Table 2.16 One-year fixed deposit rate and inflation rate， China，1993 – 2010 / 43

Table 2.17 Description of share classes / 45

Table 2.18 Free-float ratios of the overall equity market in China，1993 – 2010 / 46

Table 2.19 Market concentration – China versus selected developed market， 2002 – 2012 / 48

Table 2.20 Comparison between cash dividend yields for all tradable A-shares and central bank deposit rates in China，1993 – 2004 / 50

Table 2.21 Dividend yields of listed companies – China versus selected developed markets， 2009 – 2010 / 50

Table 2.22 Percentage of pension funds’ assets to GDP – China versus selected developed markets， 2004 – 2010 / 52

Table 2.23 Turnover in markets – China versus selected developed markets， 2003 – 2009 / 53

Table 6.1 Equity and bond market monthly returns / 168

Table 6.2 Equity and Bond Market Monthly Returns： Ups and Downs / 168

Table 6.3 Summary Statistics of Candidate Predictor Variables / 171

Table 6.4 Summary statistics of positive and negative values of candidate predictor variables / 173

Table 6.5 Correlations between excess market returns and predictor variables / 178

Table 6.6 Excess market return levels after positive and negative values of predictor variables / 181

Table 6.7 Correlations amongst Predictor Variables / 182

Table 6.8 Predicted versus actual market performance / 187

Table 6.9 Hypothesis tests for forecasting ability / 191

Table 6.10 Excess market performance and signals from predictor variables / 193

Table 6.11 Performance of market timing strategies versus benchmarks / 197

Table 6.12 Market timing strategies and associated round trips / 199

Table 6.13 Sensitivity analysis： length of time invested in equities / 203

Table 6.14 Summary statistics of equity market returns / 206

Table 6.15 Sensitivity analysis： equity market index / 207

Table 6.16 Sensitivity analysis： small sample bias / 209

Table 6.17 Predicted versus actual market performance：expanding and fixed rolling window / 211

Table 6.18 Predictions by the signals from ΔYIR2：expanding and rolling window / 212

Table 6.19 Performance of market timing strategy：expanding and fixed rolling window / 217

Table 6.20 Performance of market timing strategies using different rolling window sizes / 219

Table 7.1 Monthly summary statistics / 226

Table 7.2 Stepwise regression results for SHA return model / 231

Table 7.3 Stepwise regression results for SHC return model / 233

Table 7.4 Stepwise regression results for SZC return model / 234

Table 7.5 Robustness of model parameter estimates / 241

Table 7.6 Estimates of break dates / 245

Table 7.7 Model parameters across different time periods defined by estimated break dates / 246

Table 7.8 Test statistics for multiple breaks / 255

Table 7.9 Number of breaks / 258

Table 7.10 Confidence levels for multiple break dates / 259