The purpose of this chapter is to investigate equity market downturn predictability both statistically and economically by formulating market timing strategies using data from China，which provides an exceptional opportunity given the market’s unusual performance and excessive volatility as described in Chapter 2. Furthermore，it explores the presence of model instability and its effect on market timing activity. The chapter is organised as follows. Section 6.1 provides descriptive statistics for the Chinese equity market over the study period. In Section 6.2，the relationships between all of the predictor variables （see earlier Sections 5.1.2 to 5.1.4） and excess market returns for the study period，as well as the relationships amongst the predictor variables themselves，are examined allowing for the selection of a smaller number of predictor variables for further analysis. The performance of the prediction model （see Section 5.2.1） is examined statistically and economically in Section 6.3. Robustness tests are outlined in Section 6.4. Section 6.5 checks for the presence of model instability and its effect on the economic performance of the model. Finally，Section 6.6 concludes the chapter.