A duration dependence test for rational speculative bubbles in the Chinese stock market
The Chinese stock market suffered from great fluctuation in the past two decades, especially in periods 2006-2008 and 2014-2015. The long increasing stock prices and followed sharp decline arise the suspicion that bubbles exist in the Chinese stock market. Therefore, this dissertation aims to invest...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2019
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| Online Access: | https://eprints.nottingham.ac.uk/57885/ |
| _version_ | 1848799508487471104 |
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| author | Dai, Chichen |
| author_facet | Dai, Chichen |
| author_sort | Dai, Chichen |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The Chinese stock market suffered from great fluctuation in the past two decades, especially in periods 2006-2008 and 2014-2015. The long increasing stock prices and followed sharp decline arise the suspicion that bubbles exist in the Chinese stock market. Therefore, this dissertation aims to investigate whether these abnormal price movements can be attributed to bubbles.
This dissertation employs the duration dependence test for detecting rational bubbles, which is suitable for the properties of the Chinese stock market. By investigating real returns of the Chinese stock market index, negative duration dependence in positive runs was found in the full sample period 1997-2019 and the sub-period 1997-2010, but no duration dependence was found in the sub-period 2010-2019. The results suggest the existence of rational bubbles in the Chinese market in the sub-period that covers the first suspicious bubble existence period (2006-2008), while no rational bubble in the sub-period that covers the second suspicious bubble existence period (2014-2015). |
| first_indexed | 2025-11-14T20:36:47Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-57885 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:36:47Z |
| publishDate | 2019 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-578852022-12-02T10:54:33Z https://eprints.nottingham.ac.uk/57885/ A duration dependence test for rational speculative bubbles in the Chinese stock market Dai, Chichen The Chinese stock market suffered from great fluctuation in the past two decades, especially in periods 2006-2008 and 2014-2015. The long increasing stock prices and followed sharp decline arise the suspicion that bubbles exist in the Chinese stock market. Therefore, this dissertation aims to investigate whether these abnormal price movements can be attributed to bubbles. This dissertation employs the duration dependence test for detecting rational bubbles, which is suitable for the properties of the Chinese stock market. By investigating real returns of the Chinese stock market index, negative duration dependence in positive runs was found in the full sample period 1997-2019 and the sub-period 1997-2010, but no duration dependence was found in the sub-period 2010-2019. The results suggest the existence of rational bubbles in the Chinese market in the sub-period that covers the first suspicious bubble existence period (2006-2008), while no rational bubble in the sub-period that covers the second suspicious bubble existence period (2014-2015). 2019-12-01 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/57885/1/4317125%20N14031%20A%20Duration%20Dependence%20Test%20for%20Rational%20Speculative%20Bubbles%20in%20the%20Chinese%20Stock%20Market.pdf Dai, Chichen (2019) A duration dependence test for rational speculative bubbles in the Chinese stock market. [Dissertation (University of Nottingham only)] |
| spellingShingle | Dai, Chichen A duration dependence test for rational speculative bubbles in the Chinese stock market |
| title | A duration dependence test for rational speculative bubbles in the Chinese stock market |
| title_full | A duration dependence test for rational speculative bubbles in the Chinese stock market |
| title_fullStr | A duration dependence test for rational speculative bubbles in the Chinese stock market |
| title_full_unstemmed | A duration dependence test for rational speculative bubbles in the Chinese stock market |
| title_short | A duration dependence test for rational speculative bubbles in the Chinese stock market |
| title_sort | duration dependence test for rational speculative bubbles in the chinese stock market |
| url | https://eprints.nottingham.ac.uk/57885/ |