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Empirical Economics

, Volume 56, Issue 2, pp 735–754 | Cite as

Do speculative bubbles migrate in the Chinese stock market?

  • Qing He
  • Zongxin Qian
  • Zhe Fei
  • Terence Tai-Leung ChongEmail author
Article
  • 158 Downloads

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 

JEL Classification

G12 

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2017

Authors and Affiliations

  • Qing He
    • 1
  • Zongxin Qian
    • 2
  • Zhe Fei
    • 3
  • Terence Tai-Leung Chong
    • 4
    Email author
  1. 1.China Financial Policy Research Center, School of FinanceRenmin University of ChinaBeijingChina
  2. 2.International Monetary Institute, School of FinanceRenmin University of ChinaBeijingChina
  3. 3.School of FinanceRenmin University of ChinaBeijingChina
  4. 4.Lau Chor Tak Institute of Global Economics and Finance and Department of EconomicsThe Chinese University of Hong KongShatinHong Kong

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