This chapter discusses the data and the methodology employed in undertaking the empirical work presented in Chapter 6 and Chapter 7 and is structured as follows：Section 5.1 describes the data for the equity and the bond market indices and the candidate predictor variables used in this study. Section 5.2 deals with the methodology employed in Chapter 6，which is used to examine what variables are important to forecast equity market downturns in China，how effective and how robust the corresponding market timing strategies are，whether there is any presence of model instability and how important this is to market timing activity. Section 5.3 describes the methodology employed in Chapter 7，which is used to investigate what predictive regression models are useful for forecasting equity market returns in China，how sensitive parameter estimates are to general data problems （including outliers，heteroskedasticity，and serial correlation），whether these models have undergone structural instability，where （i.e.，what date） they may have changed，and how instability affects the degree of return predictability. Section 5.4 summarises and concludes.