Predicting Extreme Returns in Chinese Stock Market: An Application of Contextual Fundamental Analysis

Authors

  • Leo Bin University of Illinois at Springfield
  • Jianguo Chen Massey University
  • Mark Puclik University of Illinois at Springfield
  • Yongzhi Su Massey University

Keywords:

Accounting, Finance, Stocks, Stock Market

Abstract

Prior empirical works have illustrated the effectiveness of contextual fundamental analysis for predicting extreme returns in US stock market. This study employs a similar analysis framework to examine extreme returns in the largest emerging (Chinese) stock market. We find that Chinese extreme-performing stocks have many characteristics in common with but some other characteristics inconsistent with their US counterparts, suggesting that Chinese investors might hold their specific preferences to stocks. Furthermore, the likelihoods of predicting Chinese extreme and non-extreme returns are enhanced with the application of contextual fundamental analysis, particularly in identifying bottom-performing stocks.

Downloads

Published

2017-06-01

How to Cite

Bin, L., Chen, J., Puclik, M., & Su, Y. (2017). Predicting Extreme Returns in Chinese Stock Market: An Application of Contextual Fundamental Analysis. Journal of Accounting and Finance, 17(3). Retrieved from https://articlegateway.com/index.php/JAF/article/view/952

Issue

Section

Articles