文献详情
Do speculative bubbles migrate in the Chinese stock market?
文献类型：期刊
通讯作者：Chong, TTL (reprint author), Chinese Univ Hong Kong, Lau Chor Tak Inst Global Econ & Finance, Shatin, Hong Kong, Peoples R China.; Chong, TTL (reprint author), Chinese Univ Hong Kong, Dept Econ, Shatin, Hong Kong, Peoples R China.
期刊名称：EMPIRICAL ECONOMICS
年：2019
卷：56
期：2
页码：735-754
ISSN：0377-7332
关键词：Survival analysis; Speculative bubbles; Non-tradable shares reform
所属部门：财政金融学院
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 i ...More
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. ...Hide

DOI：10.1007/s00181-017-1369-4
百度学术：Do speculative bubbles migrate in the Chinese stock market?
语言：外文
人气指数：2
浏览次数：2
基金：MOE Project of Key Research Institute of Humanities and Social Sciences at Universities [16JJD790056]; National Natural Science Foundation of China [71402181]; Fundamental Research Funds for the Central Universities; Research Funds of Renmin University of China [13XNJ003]
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