| Summary: | The current China's stock market has been experiencing a surge from the end of 2006, whether this big growth represents the presence of the speculative bubbles or not has been motivated this study.
This dissertation applies the duration dependence test to test the possible existence of rational speculative bubbles in Chinese stock market. The results show that the probability of ending a run of positive excess returns decreases with the length of the run, which according to the duration dependence test, is consistent with the presence of bubbles. Together with the evidence of autocorrelation and leptokurtosis, it can be confirmed the existences of rational speculative bubbles. This can be explained by Chinese stock market's special investors' characteristics and institutional policies.
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