Is China's Stock Market Insulted from Bubbles? ------A Test of China's Stock Market
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...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2007
|
| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/21105/ |
| _version_ | 1848792187379122176 |
|---|---|
| author | Zhao, Jing |
| author_facet | Zhao, Jing |
| author_sort | Zhao, Jing |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T18:40:25Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-21105 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:40:25Z |
| publishDate | 2007 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-211052018-03-08T09:41:30Z https://eprints.nottingham.ac.uk/21105/ Is China's Stock Market Insulted from Bubbles? ------A Test of China's Stock Market Zhao, Jing 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. 2007 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/21105/1/07MAlixjz16.pdf Zhao, Jing (2007) Is China's Stock Market Insulted from Bubbles? ------A Test of China's Stock Market. [Dissertation (University of Nottingham only)] (Unpublished) Keywords: rational speculative bubbles Chinese stock market duration dependence test fundamental value state-owned market |
| spellingShingle | Keywords: rational speculative bubbles Chinese stock market duration dependence test fundamental value state-owned market Zhao, Jing Is China's Stock Market Insulted from Bubbles? ------A Test of China's Stock Market |
| title | Is China's Stock Market Insulted from Bubbles?
------A Test of China's Stock Market |
| title_full | Is China's Stock Market Insulted from Bubbles?
------A Test of China's Stock Market |
| title_fullStr | Is China's Stock Market Insulted from Bubbles?
------A Test of China's Stock Market |
| title_full_unstemmed | Is China's Stock Market Insulted from Bubbles?
------A Test of China's Stock Market |
| title_short | Is China's Stock Market Insulted from Bubbles?
------A Test of China's Stock Market |
| title_sort | is china's stock market insulted from bubbles?
------a test of china's stock market |
| topic | Keywords: rational speculative bubbles Chinese stock market duration dependence test fundamental value state-owned market |
| url | https://eprints.nottingham.ac.uk/21105/ |