Do Speculative Bubbles Migrate in the Chinese Stock Market?
Qing He (),
Zhe Fei and
Terence Tai Leung Chong ()
MPRA Paper from University Library of Munich, Germany
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.
Keywords: Survival analysis; Speculative bubbles; Non-tradable shares reform (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cna and nep-fmk
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Journal Article: Do speculative bubbles migrate in the Chinese stock market? (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:80575
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