Booms and busts in China's stock market: Estimates based on fundamentals

Gabe de Bondt, Tuomas Peltonen () and Daniel Santabárbara
Additional contact information
Tuomas Peltonen: European Central Bank

No 1032, Working Papers from Banco de España

Abstract: This paper empirically models China's stock prices using conventional fundamentals: corporate earnings, risk-free interest rate, and a proxy for equity risk premium. It uses the estimated long-run stock price misalignments to date booms and busts, and analyses equity market reforms and excess liquidity as potential drivers of these stock price misalignments. Our results show that China's equity prices can be reasonable well modelled using fundamentals, but that various booms and busts can be identified. Policy actions, either taking the form of deposit rate changes, equity market reforms or excess liquidity, seem to have significantly contributed to these misalignments.

Keywords: China; Stock price; Equity market; Reforms; Liquidity (search for similar items in EconPapers)
JEL-codes: G12 G18 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2010-10
New Economics Papers: this item is included in nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... o/10/Fic/dt1032e.pdf First version, October 2010 (application/pdf)

Related works:
Journal Article: Booms and busts in China's stock market: estimates based on fundamentals (2011)
Working Paper: Booms and busts in China's stock market: Estimates based on fundamentals (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1032

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