Technical and Scale Efficiencies for Chinese Rural Credit Cooperatives: A Bootstrapping Approach in Data Envelopment Analysis |
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Authors: | Eric Girardin Zhenya Liu |
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Affiliation: | 1. Eric Girardin, GREQAM, Faculty of Economics, Université de la méditerranée, 14 Avenue Jules Ferry, 13621 Aix en Provence, France;2. People's University of China, Beijing, People's Republic of china |
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Abstract: | This paper uses Markov-switching techniques to examine the presence of different market conditions on the Shanghai A-share market since the start of active trading in the mid-1990s. The originality of the paper lies in the identification of three contrasting regimes: a speculative market, a bull market and a bear market. Overall, the ‘Casino’ character of the Chinese stock market is the main feature that is substantiated by the present paper. However, the bull market regime is always a buffer zone between the other two regimes. After early 1997, an investor with a weekly horizon most of the time finds herself in the bear market and makes capital losses. Only during very short periods of ‘luck’ does she make substantial capital gains, which on average will compensate her for the losses. |
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Keywords: | Markov-switching Chinese Stock Market |
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