【IMI Working Paper No. 1713 [EN]】Do Speculative Bubbles Migrate in the Chinese Stock Market?

2017-11-27 IMI

【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. 【Keywords】 Survival analysis; Speculative bubbles; Non-tradable shares reform 【Authors】 He Qing, Senior Research Fellow of IMI, Professor of School of Finance, Renmin University of China. Qian Zongxin, Research Fellow of IMI, Associate Professor of School of Finance, Renmin University of China. Fei Zhe, School of Finance, Renmin University of China. Terence Tai Leung Chong, Department of Economics and Lau Chor Tak Institute of Global Economics and Finance, Chinese University of Hong Kong.

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【IMI Working Paper No. 1713 [EN]】Do Speculative Bubbles Migrate in the Chinese Stock Market?

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