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dc.contributor.authorLehkonen, Heikki
dc.date.accessioned2016-02-19T07:47:18Z
dc.date.available2016-02-19T07:47:18Z
dc.date.issued2010
dc.identifier.citationLehkonen, H. (2010). Bubbles in China. <em>International Review of Financial Analysis</em>, 19 (2), 113-117. <a href="http://dx.doi.org/10.1016/j.irfa.2010.01.005">doi:10.1016/j.irfa.2010.01.005</a>
dc.identifier.otherTUTKAID_43262
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/48848
dc.description.abstractThis 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.
dc.language.isoeng
dc.publisherElsevier
dc.relation.ispartofseriesInternational Review of Financial Analysis
dc.subject.otherDuraatio riippuvuus
dc.subject.otherrationaaliset kuplat
dc.subject.otherKiinan osakemarkkinat
dc.subject.otherDuration dependence
dc.subject.otherRational bubbles
dc.subject.otherChinese stock market
dc.titleBubbles in China
dc.typearticle
dc.identifier.urnURN:NBN:fi:jyu-201602191621
dc.contributor.laitosTaloustieteiden tiedekuntafi
dc.contributor.laitosSchool of Business and Economicsen
dc.contributor.oppiaineKansantaloustiede
dc.type.urihttp://purl.org/eprint/type/JournalArticle
dc.date.updated2016-02-19T07:15:09Z
dc.type.coarjournal article
dc.description.reviewstatuspeerReviewed
dc.format.pagerange113-117
dc.relation.issn1057-5219
dc.relation.volume19
dc.type.versionacceptedVersion
dc.rights.copyright© 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.
dc.rights.accesslevelopenAccessfi
dc.relation.doidoi:10.1016/j.irfa.2010.01.005


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