Do speculative bubbles migrate in the Chinese stock market?

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.

     

资产定价泡沫对经济的影响

本文采用具有技术进步和随机实质资本投资收益率的跨时迭代模型 ,从理论上分析了资产定价泡沫对经济的影响 ,同时对我国转轨时期经济的动态效率进行了实证研究。结果显示 :我国转轨时期经济正从动态无效向动态有效转化 ,在实质资本收益率确定的情况下 ,适当的资产定价泡沫 (如果存在的话 )对我国经济有益 ,会增加人均消费 ,加快我国经济向动态有效转化 ,使资源配置达到Pareto最优 ;在实质资本收益率随机的情况下 ,资产定价泡沫对经济的影响是不确定的 ,其效果依赖于个人对未来投资实质资本收益率的预期 ,因而加强投资者对未来实质资本投资的收益率持乐观态度的信心是至关重要的。     

基于动态期限相关法的股市价格泡沫实证检验

本文通过构造动态期限相关法,以250个交易日为定样本容量窗口.动态的考察了我国上证综合指教从1992年1月2日到2008年11月28日各个阶段的价格泡沫状况.实证表明,我国股市自建立以来,价格泡沫就伴随左右.而且阶段性的暴涨暴跌,极易催生泡沫.随着次级债危机的爆发,股市急剧下跌,当前已经产生了负向的随机泡沫.     

关于全民炒股和股市泡沫的经济分析

近来媒体关于全民炒股特别是上班族炒股升温的报道,敲响了股市泡沫崩溃的警钟,而推动股市泡沫走向崩溃的,则是全民炒股热和上班族炒股风.中国股票市场的两大缺陷是中国股市动辄形成严重泡沫的重要原因,要彻底消除股市泡沫,必须改变股票供给严重不足和股票需求异常增大的局面,并严肃八小时工作纪律,杜绝全民炒股特别是上班炒股风.在股市钱空的程度日趋严重的形势下,对股市泡沫崩溃及其严重影响必须有清醒的认识,做好充分的准备.     

Asset bubbles,monetary policy and bank lending in Japan: an empirical investigation

Asset prices rose rapidly in Japan during the latter half of the 1980s, and then declined as quickly in the early 1990s. Their behaviour is consistent with the existence of speculative ‘bubbles’ in these markets. This paper investigates the dynamic relationships among stock and land prices in Japan, output, and monetary and bank lending variables. The results of causality tests and variance decompositions are reported for two time periods, 1972#1501985 and 1986#1501991. The price bubbles affected each other in the first period, although the size of this impact is dependent on the choice of variables in the VARs. In the bubble period, there is strong evidence that the stock market bubble was determined by its own past and also influenced the land market bubble, accounting for a significant proportion of the variance of the land market bubble. However, neither output, the money supply nor the lending variables were significant in the causality tests or in explaining the variation of the two assset bubbles.     

Information and adjustment in a local housing market

Existing studies on bubbles have been mainly concerned with investigating the stationarity properties of stock prices and market fundamentals. We develop a new method of testing for bubbles that relates the bubble component of stock prices to the probability of bursting in the context of the Weibull distribution. There were several eruptions and subsequent collapses of seeming bubbles over the past three decades: 1987 (Black Monday), 2000 (information technology (IT) boom) and 2007 (housing market boom). Using US monthly data for the S&P 500 and NASDAQ series, we have found that the S&P 500 series contained an explosive bubble only during the boom of the housing market that occurred before the 2007 global economic crisis, and the NASDAQ market contained an explosive bubble during the surge of stock prices peaking in 1987 and 2007, although our stationarity tests fail to detect the bubbles. No bubble was found in both the S&P and NASDAQ series during the 2000 IT boom. Our evidence corroborates the criticism that the traditional unit root and cointegration tests may not be able to detect some important class of bubbles.     

中国股市泡沫浅析

中国股市泡沫的出现主要是基于四个方面：市场的非完全有效性、缺乏有效的红利分配、政策干预严重和缺乏做空机制。在股权分置改革后，产业资本与金融资本可依据Q值的大小，通过企业市场市值和重置资本的调整，使得Q值维持在合理的水平，抑制泡沫的膨胀。     

中国股市的理性泡沫

传统理论通常把证券市场的泡沫与投资者的非理性行为混为一谈。近期的研究却表明在一个完全理性的市场中 ,泡沫依然可以出现。本文首先对我国证券市场存在理性泡沫的可能性提出多种理论解释 ,认为下列原因导致了我国证券市场泡沫的存在 :( 1 )上市审批制 ;( 2 )可供投资的证券种类少 ;( 3 )政府的托市行为 ;( 4)卖空机制的缺乏 ;( 5)套利机制缺乏有效性 ;( 6)上市公司很少分红 ,投资者买卖股票只是为了获得买卖差价。其次 ,我们通过分析所得的结果 ,提出应对理性泡沫的政策措施。     

Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?

The speculative nature of both stock and housing markets in China has attracted the attention of observers. However, while stock market data are easily available, the low frequency and low quality of publicly available housing price data hampers the study of the relationship between the two markets. We use original hedonic weekly resale housing prices of a major Chinese housing market and study them in conjunction with Shanghai's stock market index in the second half of the 2000s. The use of the Phillips et al. (2015 a,b) recursive explosive‐root test enables us to detect and date speculative episodes in both markets. We then implement the Greenaway‐McGrevy and Phillips (2016) methodology to detect the presence of migration between the two types of bubbles. We detect significant migration from the stock to the housing market bubble in 2009 and a temporary spillover in 2007.     

Rational expectation bubbles: evidence from Hong Kong’s sub-indices

This article uses Hong Kong stock market’s four sub-indices to examine the existence and causes of rational expectation bubbles. The unit root test is applied to the rational bubble hypothesis. Various causality test methods are used to examine the causality of bubble among the four sub-indices. The empirical results show that in the sub-periods of 1986 to 2002 and 2000 to 2012, the bubbles of commerce and industry and utilities industries are consistent with rational expectation bubbles, but not so in the finance and properties industries. In general, the rational expectation bubbles in the two sub-periods seemed to have been caused by expectations in other growing foreign economies.     

基于泡沫理论的中国股市风险研究

基于泡沫理论,完善了原有的泡沫系数模型,用实际股市指数的变化率与理论股市指数的变化率之比作为新的泡沫系数,实现了对我国股市风险的更精准测度。     

Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies

The existence, or otherwise, of bubbles has become a topical issue in economics and finance, particularly following the Global Financial Crisis. Using the generalized sup ADF (GSADF), unit root tests of Phillips et al. (2015a, PSY) we investigate evidence for exchange rate bubbles in some G10, Asian and BRICS countries from Mar.1991-Dec.2014. We conclude that the US$-Mexican Peso crisis of 1994–95 was a bubble. Of particular interest to financial market trading, is that newly emerging countries, with relatively shallow financial markets, may be more likely to exhibit bubbly behavior in foreign exchange markets than more mature G10 countries.     

基于方差分解法的中国股市泡沫检验问题研究

基于理性投机泡沫理论,采用方差分解法对2005年5月到2012年9月上证综指是否存在泡沫以及泡沫的严重程度进行实证检验,并将检验结果同动态自回归法得到的结果进行比较。研究发现该方法能更有效地检测出我国股市中存在的严重投机性泡沫。     

Periodically collapsing bubbles in the US stock market?

The existence of periodically collapsing bubbles in stock markets, applying the Enders–Siklos momentum threshold autoregressive (MTAR) model, is empirically investigated in this paper. Using this nonlinear time series technique, we are now able to analyse bubble-driven run-ups in stock prices followed by a crash in a cointegration framework with asymmetric adjustment. Therefore, applying this technique makes possible a deeper insight into the behavior of stock prices than was previously possible using conventional cointegration tests. Although the results from the subsample 1871–1995 cannot be interpreted in favor of the existence of periodically collapsing bubbles in the US stock market, the findings from the 1871–2001 sample period indicate their presence.     

股市泡沫浅析

股票市场泡沫问题一直是理论界和实务界关注的重点。本文首先从股票市场泡沫的定义入手,接着提出股票市场泡沫形成的原因,随后分析股票市场泡沫对于资本市场存在的危害以及泡沫破裂所带来的灾难性的后果。最后针对股票市场泡沫形成的原因及危害,提出了预防股票市场泡沫的方法。     

Impacts of China's crash on Asia-Pacific financial integration: Volatility interdependence,information transmission and market co-movement

This paper examines the price and volatility dynamics between China and major stock markets in the Asia-Pacific, investigating the effects of the Chinese stock market crash (2015–2016) for the first time. Employing the Bayesian VAR and BEKK GARCH, we observe that price and volatility spillover behaviours are different during the stable and stress periods. Particularly, price spillovers from China to other regional markets are more significant during a bullish period, showing that ‘good news’ emanating from China has strong impacts on its neighbours during better market condition. In the turbulent period, we observe strong shock spillover effects and enhanced volatility spillovers from China to most Asia-Pacific stock markets. This is because China, as an important trading partner and strategic financial centre shows to exert significant influence on the Asia-Pacific region through various economic channels. We also find that the Asia-Pacific stock markets spill over their shocks to China during the crisis, indicating that China is becoming more integrated with the regional financial markets.     

The time-varying characteristics of the Chinese financial cycle and impact from the United States

ABSTRACT

Although there have been many empirical studies about the financial cycle since the financial crisis of 2008, few have analysed the structural changes in the Chinese financial cycle over time. The Chinese financial development process is short, and it is difficult to obtain accurate results on the measurement of the financial cycle. Based on wavelet analysis, this paper analyzes the time-varying characteristics of the Chinese financial cycle and the relationship between the financial and business cycles. In addition, we measure the impact from the United States. This paper draws three conclusions. Firstly, in terms of the characteristics of cycles, the existence of Chinese business cycle and financial cycle is proved, while the credit cycle, leverage cycle, stock market cycle and property cycle are quite different. Specifically, China has a 5.8-year credit cycle, an 8-year stock market cycle, 3.4-year and 12-year business cycles and a 15-year leverage cycle. Secondly, the financial cycles can serve as leading indicators of the business cycle, though the relationships between them are change overtime. Finally, the United States has a significant impact on the Chinese financial cycle with a ‘decoupling-recoupling’ effect, which is mainly reflected in the leverage cycle and the stock market cycle.     

Profiteering from the Dot‐Com Bubble,Subprime Crisis and Asian Financial Crisis

The paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot‐com bubble of Nasdaq. It examines the profitability of technical analysis (TA) strategies generating buy and sell signals, with and without our proposed trading rules. The empirical results show that, by applying long and short strategies during the bubble formation and a short strategy after the bubble burst, it not only produces returns that are significantly greater than buy‐and‐hold strategies, but also produces greater wealth compared with TA strategies without trading rules. We conclude that these bubble detection signals help investors generate greater wealth from applying appropriate long and short moving average (MA) strategies.     

Irrational exuberance in the Chinese iron ore market?

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.     

TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500

Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles in real time. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real‐time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple‐bubble phenomena within the same sample period. To meet this challenge, this article develops a new recursive flexible window method that is better suited for practical implementation with long historical time series. The method is a generalized version of the sup augmented Dickey–Fuller (ADF) test of Phillips et al. (“Explosive behavior in the 1990s NASDAQ: When did exuberance escalate asset values?” International Economic Review 52 (2011), 201–26; PWY) and delivers a consistent real‐time date‐stamping strategy for the origination and termination of multiple bubbles. Simulations show that the test significantly improves discriminatory power and leads to distinct power gains when multiple bubbles occur. An empirical application of the methodology is conducted on S&P 500 stock market data over a long historical period from January 1871 to December 2010. The new approach successfully identifies the well‐known historical episodes of exuberance and collapses over this period, whereas the strategy of PWY and a related cumulative sum (CUSUM) dating procedure locate far fewer episodes in the same sample range.