Abstract
This paper studies the duration properties of the Chinese stock market cycle. We find evidence for duration dependence in both A-share and B-share markets for whole cycles. The results reject the random-walk hypotheses for both markets. For half cycles, evidence of duration dependence for expansions in the Shanghai A-share market is found. For the Shenzhen B-share market, there is little evidence of duration dependence for half cycles. Although the B-share market is less liquid as compared to the A-share market, the results of this study suggest that the B-share market is more efficient than the A-share market. An important implication is that the quality of market participants plays an important role in the duration property of the Chinese stock market.
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