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Do speculative bubbles migrate in the Chinese stock market? |
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| Authors: | He Qing Qian Zongxin Fei Zhe Chong Terence Tai-Leung |
| Institution: | 1.China Financial Policy Research Center, School of Finance, Renmin University of China, Beijing, China ;2.International Monetary Institute, School of Finance, Renmin University of China, Beijing, China ;3.School of Finance, Renmin University of China, Beijing, China ;4.Lau Chor Tak Institute of Global Economics and Finance and Department of Economics, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong ; |
| Abstract: | 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. |
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