Do speculative bubbles migrate in the Chinese stock market?
Do speculative bubbles migrate in the Chinese stock market?
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DOI：
10.1007/s00181-017-1369-4
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发表时间：
2019-02
影响因子：
3.2
通讯作者：
Qing He;Zongxin Qian;Zhe Fei;T. Chong
中科院分区：
文献类型：
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作者：
Qing He;Zongxin Qian;Zhe Fei;T. Chong
本文建立了中国股市投机泡沫的持续期相关性检验。研究发现，在股权分置改革之前，股票总价格存在泡沫。改革后，我们观察到了跨行业的泡沫迁移现象。特别是，泡沫从电信行业转移到医疗保健行业。此外，我们发现，货币政策在改革前对泡沫大小有显著影响，但改革后影响减弱。
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.