The chapter is laid out as follows：Section 7.1 presents summary statistics for Chinese equity markets for the period January 1993 （01.1993） to May 2010 （05.2010）. To deal with issues around model selection，Section 7.2 presents linear regressions of equity market returns on a pool of predictor variables using a stepwise procedure and examines the robustness of the resulting models. Section 7.3 estimates break dates based on the least-squares principle and conducts parameter stability tests. Furthermore，it also deals with the determination of the number of breaks and the statistical analysis of parameter estimates. Section 7.4 concludes the chapter.