Irrational exuberance in the Chinese iron ore market?

Xiaoli Etienne

Applied Economics Letters, 2017, vol. 24, issue 16, 1161-1166

Abstract: The rapid run-ups in the Chinese iron ore market in the first half of 2016 have sparked much concern about the appearance of speculative bubbles in this market among many market analysts. Using a recently developed bubble testing procedure, we confirm that there indeed existed periods of irrational exuberance in the Chinese iron ore market. However, most of the bubble periods are short-lived, reflecting the market’s ability to quickly respond to price deviations unjustified by fundamentals. The longest bubble period occurred in mid-2014, corresponding to a period of relatively low trading volume. Using a fractional probit model, we find evidence consistent with the hypothesis that market liquidity may play a role in bubble occurrences.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2016.1262507 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:24:y:2017:i:16:p:1161-1166

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2016.1262507

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().