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

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Survival analysis; Speculative bubbles; Non-tradable shares reform
• Subjects: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates

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