Do Speculative Bubbles Migrate in the Chinese Stock Market?
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AbstractIn this paper, a duration dependence test for speculative bubbles in the Chinese stock market is developed. It is found that bubbles in the aggregate stock price existed before the split share reform. After the reform, we observe the phenomenon of bubble migration across industries. In particular, bubbles migrate from the telecommunications industry to the health care industry. Moreover, we find that monetary policy used to have a significant impact on the bubble size before the reform but the impact diminished after the reform.
Acceptance Date01/08/2017
All Author(s) ListQing HE, Zongxin QIAN, Zhe FEI, Terence Tai-Leung CHONG
Journal nameEmpirical Economics
Year2019
Month2
Volume Number56
Issue Number2
PublisherSpringer
Pages735 - 754
ISSN0377-7332
eISSN1435-8921
LanguagesEnglish-United States
KeywordsSurvival analysis; Speculative bubbles; Non-tradable shares reform

Last updated on 2020-22-01 at 01:35