Munich Personal RePEc Archive

Do Speculative Bubbles Migrate in the Chinese Stock Market?

He, Qing and Qian, Zongxin and Fei, Zhe and Chong, Terence Tai Leung (2016): Do Speculative Bubbles Migrate in the Chinese Stock Market? Forthcoming in: Empirical Economics

[img]
Preview
PDF
MPRA_paper_80575.pdf

Download (303kB) | Preview

Abstract

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.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.