Do Speculative Bubbles Migrate in the Chinese Stock Market?
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要In 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.
出版社接受日期01.08.2017
著者Qing HE, Zongxin QIAN, Zhe FEI, Terence Tai-Leung CHONG
期刊名稱Empirical Economics
出版年份2019
月份2
卷號56
期次2
出版社Springer
頁次735 - 754
國際標準期刊號0377-7332
電子國際標準期刊號1435-8921
語言美式英語
關鍵詞Survival analysis; Speculative bubbles; Non-tradable shares reform

上次更新時間 2020-22-01 於 01:35