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Do speculative bubbles migrate in the Chinese stock market?

Author

Listed:
  • Qing He

    (Renmin University of China)

  • Zongxin Qian

    (Renmin University of China)

  • Zhe Fei

    (Renmin University of China)

  • Terence Tai-Leung Chong

    (The Chinese University of Hong Kong)

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.

Suggested Citation

  • Qing He & Zongxin Qian & Zhe Fei & Terence Tai-Leung Chong, 2019. "Do speculative bubbles migrate in the Chinese stock market?," Empirical Economics, Springer, vol. 56(2), pages 735-754, February.
    • Handle: RePEc:spr:empeco:v:56:y:2019:i:2:d:10.1007_s00181-017-1369-4
    DOI: 10.1007/s00181-017-1369-4
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    Cited by:

    1. Fang, Ming & Lin, Yizhou & Chang, Chiu-Lan, 2023. "Positive and negative price bubbles of Chinese agricultural commodity futures," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 456-471.
    2. Zheng Zheng Li & Yidong Xiao & Chi-Wei Su, 2021. "Does COVID-19 Drive Stock Price Bubbles in Medical Mask?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(4), pages 1-6.
    3. Zhuo Chen & Bo Yan & Hanwen Kang, 2023. "Price bubbles of agricultural commodities: evidence from China’s futures market," Empirical Economics, Springer, vol. 64(1), pages 195-222, January.
    4. Li, Yanglin & Wang, Shaoping & Zhao, Qing, 2021. "When does the stock market recover from a crisis?," Finance Research Letters, Elsevier, vol. 39(C).
    5. I-Chun Tsai, 2022. "The connectedness between Hong Kong and China real estate markets: spillover effect and information transmission," Empirical Economics, Springer, vol. 63(1), pages 287-311, July.

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    More about this item

    Keywords

    Survival analysis; Speculative bubbles; Non-tradable shares reform;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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