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Duration dependence test for rational bubbles in Chinese stock market

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  • Bing Zhang

Abstract

This article applies duration dependence tests to analyse the 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. Together with the evidence of autocorrelation and leptokurtosis, we confirm the existences of speculative bubbles. This can be explained by Chinese stock market's institutional characteristics.

Suggested Citation

  • Bing Zhang, 2008. "Duration dependence test for rational bubbles in Chinese stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 15(8), pages 635-639.
    • Handle: RePEc:taf:apeclt:v:15:y:2008:i:8:p:635-639
    DOI: 10.1080/13504850600706966
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    Cited by:

    1. Alberto Madrid & Luis A. Hierro, 2015. "Burbujas especulativas: el estado de una cuestión poco estudiada," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 38(108), pages 123-138, Septiembr.
    2. KIRKPINAR, Aysegul & ERER, Elif & ERER, Deniz, 2019. "Is There A Rational Bubble In Bist 100 And Sector Indices?," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 23(3), pages 21-33, September.
    3. Qing He & Zongxin Qian & Zhe Fei & Terence Tai-Leung Chong, 2019. "Do speculative bubbles migrate in the Chinese stock market?," Empirical Economics, Springer, vol. 56(2), pages 735-754, February.
    4. Lehkonen, Heikki, 2010. "Bubbles in China," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 113-117, March.
    5. Wang, Miao & Wong, M. C. Sunny, 2015. "Rational speculative bubbles in the US stock market and political cycles," Finance Research Letters, Elsevier, vol. 13(C), pages 1-9.
    6. Dettoni, Robinson & Gil-Alana, Luis Alberiko, 2023. "Testing the hypothesis of duration dependence in the U.S. housing market," Finance Research Letters, Elsevier, vol. 58(PD).
    7. Tran, Thi Bich Ngoc, 2017. "Speculative bubbles in emerging stock markets and macroeconomic factors: A new empirical evidence for Asia and Latin America," Research in International Business and Finance, Elsevier, vol. 42(C), pages 454-467.
    8. Jung‐Suk Yu & M. Kabir Hassan, 2010. "Rational speculative bubbles in MENA stock markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(3), pages 247-264, August.

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