Analysis of Cyclical Fluctuations in the Chinese Stock Market Using Non-Harmonic Analysis: Market Responses to Major Economic Events

Li Ma, Yuki Kojima, Keisuke Nomoto, Masaya Hasegawa, Shigeki Hirobayashi

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

This study employs Non-Harmonic Analysis (NHA) to investigate the cyclical characteristics and market response patterns of the Chinese stock market during two critical periods: 2006-2008 and 2014-2016. By analyzing daily frequency data from the Shanghai Composite Index (SSEC), the study identifies the dynamic behavior of short-term (32-64 days), medium-term (128 days), and long-term (256 days and beyond) cycles. The findings demonstrate that short-term cycles capture the market's immediate reactions, medium-term cycles serve as a transition between short-term and long-term trends, and long-term cycles reflect the market's adaptation to macroeconomic conditions. Under the influence of major events, such as the Lehman Brothers collapse and the RMB devaluation, the market exhibited a dynamic transition from short-term speculative activity to long-term adjustment. The application of NHA effectively uncovers market patterns across various time scales, offering significant insights for understanding market behavior, risk management, and policy-making.

Original languageEnglish
Title of host publicationProceedings - 2024 10th International Conference on Systems and Informatics, ICSAI 2024
EditorsQingli Li, Yan Wang, Lipo Wang
PublisherInstitute of Electrical and Electronics Engineers Inc.
ISBN (Electronic)9798331510138
DOIs
StatePublished - 2024
Event10th International Conference on Systems and Informatics, ICSAI 2024 - Shanghai, China
Duration: 2024/12/142024/12/16

Publication series

NameProceedings - 2024 10th International Conference on Systems and Informatics, ICSAI 2024

Conference

Conference10th International Conference on Systems and Informatics, ICSAI 2024
Country/TerritoryChina
CityShanghai
Period2024/12/142024/12/16

Keywords

  • Shanghai Composite Index
  • cyclical fluctuations
  • economic events
  • non-harmonic analysis
  • stock prices

ASJC Scopus subject areas

  • Artificial Intelligence
  • Computer Science Applications
  • Computer Vision and Pattern Recognition
  • Information Systems
  • Information Systems and Management

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