Figure 2
The illustration shows line graphs arranged in a 2 by 2 grid pattern, each showing the log of a global market. In all graphs, the horizontal axis labels are rotated vertically and show year-month codes such as “2011 m 5”, “2011 m 11”, “2012 m 5”, “2012 m 11”, “2013 m 5”, “2013 m 11”, “2014 m 5”, “2014 m 11”, “2015 m 5”, 2015 m 11”, “2016 m 5”, “2016 m 11”, “2017 m 5”, “2017 m 11”, “2018 m 5”, “2018 m 11”, “2019 m 5”, “2019 m 11”, “2020 m 5”, “2020 m 11”, “2021 m 5”, “2021 m 11” “2022 m 5”, “2022 m 11”, “2023 m 5”, and “2023 m 11”. In the top left panel, a legend at the bottom center reads “LOG (V T)” in a blue line sample and “LOG (F X I)” in a red dashed line sample. The vertical axis ranges from 2.8 to 4.8 with an interval of 0.4. The blue series “LOG (V T)” starts just under 3.9 at “2011 m 5”, dips slightly, then follows the upward trend with small fluctuation towards “2019 m 11”, then it drops slightly and again rises to the highest peak around 4.7 in “2021 m 11” and then decreases for a small distance just before decreasing. The red dashed “LOG (F X I)” line begins near 3.8, tracks loosely below the blue series, fluctuates with slightly large variation, reaches its lowest around 3 in 2022 m 11, and ends around 3.2 in “2023 m 11”. In the top right panel, the legend reads “LOG (V T)” (blue) and “LOG (G X C)” (red dashed). The vertical axis ranges from 3.6 to 5.0 with an interval of 0.2. The blue “LOG (V T)” path is similar to the previous panel, again rising from around 3.9 at “2011 m 1” and following the upward trend towards 4.65 in “2021 m 11” and then decreasing for a small distance just before decreasing. The red dashed “LOG (G X C)” series starts around 4.4 at “2011 m 5,” climbs with noticeable volatility, reaching the highest peak around 4.95 by “2020 m 11” and then decreases and ends around 4.2 in “2023 m 11”. In the bottom left panel, the legend at the bottom center reads “LOG (V T)” (blue) and “LOG (C Q Q Q)” (red dashed). The vertical axis ranges from 2.8 to 4.8 with an interval of 0.4. The blue “LOG (V T)” line again follows the familiar upward then volatile pattern, rising from about 3.9 at “2011 m 5”, peaking around 4.7 in “2021 m 11”, then decreasing for a small distance just before decreasing. The red dashed “LOG (C Q Q Q)” series starts near 3.4, trails below the blue line, and follows the upward trend toward the peak around 4.5 at “2020 m 11”, then decreases and ends around 3.6 in “2023 m 11”. In the bottom right panel, the legend reads “LOG (V T)” (blue) and “LOG (M C H I)” (red dashed). The vertical axis ranges from 3.4 to 4.8 with an interval of 0.2. The blue “LOG (V T)” series again climbs from just under 4.0 at “2011 m 5” and follows the upward trend but shows slightly larger fluctuation than the previous graph and peaks around 4.67 in “2021 m 11”. The red dashed “LOG (M C H I)” line begins slightly below 4.0 at “2011 m 5”, moves up toward with slightly large variation and peaks around 4.46 at “2020 m 11” and decreases before ending around 3.78 at “2023 m 11”. Across all four graphs, the region just after “2019 m 11” to “2023 m 11” is shaded in gray from bottom to top. Note: All numerical data values are approximated.Relative performance of Chinese equity ETFs compared to the global stock market. Notes: The individual graphs display the comparative performance of four Chinese equity ETFs against the global stock market ETF (VT). The charts indicate that, particularly in the post-COVID-19 era, the performance gap between the Chinese ETFs and the global benchmark has widened significantly. All four Chinese ETFs have consistently underperformed relative to the global stock market ETF during this period, signaling a growing divergence in their respective returns. Consistent with the break-regression results in this study, we have shaded the high-EPU regime (post-2020). Source: The authors’ estimation