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Bubbles in China

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  • Lehkonen, Heikki

Abstract

This study examines rational bubbles in Chinese stock markets and China-related share indices in Hong Kong. A duration dependence test is employed for both monthly and weekly abnormal market returns of the Shanghai and Shenzhen A- and B-markets, as well as for the Hong Kong China Enterprises and China Affiliated Corporations indices. The test results are mixed, as weekly data demonstrate bubbles for all of the Mainland Chinese stock markets, but monthly data do not show bubbles for any of the examined markets. Neither of the datasets indicates bubbles in the Hong Kong markets. Results indicate that, in terms of bubbles, segmentation does not play a significant role in bubble existence and that the stock markets of Mainland China behave similarly but cannot be compared directly to the more developed markets of Hong Kong. In the light of the results, the argument that the duration dependence test is sensitive to the use of weekly versus monthly data can be generalized to emerging markets. This must be taken into account when the method is employed.

Suggested Citation

  • Lehkonen, Heikki, 2010. "Bubbles in China," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 113-117, March.
  • Handle: RePEc:eee:finana:v:19:y:2010:i:2:p:113-117
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    References listed on IDEAS

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    Cited by:

    1. Alberto Madrid & Luis A. Hierro, 2015. "Burbujas especulativas: el estado de una cuestión poco estudiada," Cuadernos de Economía - Spanish Journal of Economics and Finance, ELSEVIER, vol. 38(108), pages 123-138, Septiembr.
    2. Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel, 2013. "Testing rational speculative bubbles in Central European stock markets," MPRA Paper 46582, University Library of Munich, Germany.
    3. Narayan, Paresh Kumar & Sharma, Susan Sunila & Phan, Dinh Hoang Bach, 2016. "Asset price bubbles and economic welfare," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 139-148.
    4. Yu Guo And Wei Ma, 2016. "Time-Varying Coefficient Taylor Rule and Chinese Monetary Policy: Evidence from the Time-Varying Cointegration," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 41(4), pages 27-44, December.

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