The research undertaken in this book focuses on the returns to three main equity indices in China，including the SHA and the SHC on the SHSE，and the SZC on the SZSE. An 18-year sample period from January 1993 （01.1993） to May 2010 （05.2010） allows for a wide-ranging investigation into the return behavior of the three indices on a stand-alone and comparative basis. The research contributes to the extant studies on aggregate equity performance in emerging markets as it provides： • An examination of forecasting aggregate equity performance in China from the perspective of both market downturns and market returns. • An investigation of the ability of predictor variables，as both theoretically and empirically suggested，to forecast equity market downturns using the methodology proposed in Shen （2003） by formulating easy-to-implement market timing strategies. • An evaluation of the potential importance of structural breaks on market timing activity by comparing the results using the fixed rolling and the expanding window methods. • An investigation of the occurrence and the size of structural breaks in linear predictive regression models using the methodology proposed in Bai and Perron （1998，2003） by extending earlier stability tests in several directions to allow for multiple breaks，heteroskedasticity and serial correlation. • An estimation of the statistical significance of structural breaks on forecasting through examining the impact of breaks on the predictability of regression models.