Bubbles in China
Lehkonen, H. (2010). Bubbles in China. International Review of Financial Analysis, 19 (2), 113-117. doi:10.1016/j.irfa.2010.01.005
Published inInternational Review of Financial Analysis
© 2010 Elsevier Inc. This is a final draft version of an article whose final and definitive form has been published by Elsevier. Published in this repository with the kind permission of the publisher.
This study examines rational bubbles in Chinese stock markets and China-related share indices in Hong Kong. A duration dependence test is employed for both monthly and weekly abnormal market returns of the Shanghai and Shenzhen A- and B-markets, as well as for the Hong Kong China Enterprises and China Affiliated Corporations indices. The test results are mixed, as weekly data demonstrate bubbles for all of the Mainland Chinese stock markets, but monthly data do not show bubbles for any of the examined markets. Neither of the datasets indicates bubbles in the Hong Kong markets. Results indicate that, in terms of bubbles, segmentation does not play a significant role in bubble existence and that the stock markets of Mainland China behave similarly but cannot be compared directly to the more developed markets of Hong Kong. In the light of the results, the argument that the duration dependence test is sensitive to the use of weekly versus monthly data can be generalized to emerging markets. This must be taken into account when the method is employed. ...
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