Do speculative bubbles migrate in the Chinese stock market?

被引：0
作者：
Qing He
Zongxin Qian
Zhe Fei
Terence Tai-Leung Chong
机构：
[1] Renmin University of China,China Financial Policy Research Center, School of Finance
[2] Renmin University of China,International Monetary Institute, School of Finance
[3] Renmin University of China,School of Finance
[4] The Chinese University of Hong Kong,Lau Chor Tak Institute of Global Economics and Finance and Department of Economics
来源：
Empirical Economics | 2019年 / 56卷
关键词：
Survival analysis; Speculative bubbles; Non-tradable shares reform; G12;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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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页码：735 / 754
页数：19
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