Nonlinear bubbles in Chinese Stock Markets in the 1990s

Ehsan Ahmed, Honggang Li and J. Barkley Rosser
Additional contact information
Ehsan Ahmed: James Madison University
Honggang Li: Beijing Normal University

Eastern Economic Journal, 2006, vol. 32, issue 1, 1-18

Abstract: A time series of the Shanghai stock index in China for the 1990s is studied for the possible existence of nonlinear speculative bubbles. Three alternative specifications of fundamentals are estimated using VAR models of domestic and international variables. These are subjected to regime switching tests and rescaled range analysis tests. Nulls of no persistence were mostly rejected, suggesting the strong possibility of bubbles. Nonlinearities beyond ARCH effects using the BDS test could not be rejected. The paper also discusses the special circumstances of the stock market in an emerging transition economy.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://web.holycross.edu/RePEc/eej/Archive/Volume32/V32N1P1_18.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eej:eeconj:v:32:y:2006:i:1:p:1-18

Access Statistics for this article

Eastern Economic Journal is currently edited by Cynthia A. Bansak, St. Lawrence University and Allan A. Zebedee, Clarkson University

More articles in Eastern Economic Journal from Eastern Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Victor Matheson, College of the Holy Cross ().