David Bourget (Western Ontario)
David Chalmers (ANU, NYU)
Rafael De Clercq
Jack Alan Reynolds
Learn more about PhilPapers
A time series of the Shanghai stock index in China for the 1990s is studied for the possible existence of nonlinear speculative bubbles. Three alternative specifications of fundamentals are estimated using VAR models of domestic and international variables. These are subjected to regime switching tests and rescaled range analysis tests. Nulls of no persistence were mostly rejected, suggesting the strong possibility of bubbles. Nonlinearities beyond ARCH effects using the BDS test could not be rejected. The paper also discusses the special circumstances of the stock market in an emerging transition economy.
|Keywords||No keywords specified (fix it)|
No categories specified
(categorize this paper)
Setup an account with your affiliations in order to access resources via your University's proxy server
Configure custom proxy (use this if your affiliation does not provide a proxy)
|Through your library||
References found in this work BETA
No references found.
Citations of this work BETA
No citations found.
Similar books and articles
E. Mine Cinar (1999). The Issue of Insider Trading in Law and Economics: Lessons for Emerging Financial Markets in the World. [REVIEW] Journal of Business Ethics 19 (4):345 - 353.
X. D. Xu, S. X. Zeng & C. M. Tam (2012). Stock Market's Reaction to Disclosure of Environmental Violations: Evidence From China. [REVIEW] Journal of Business Ethics 107 (2):227-237.
Shahnaz Naughton & Tony Naughton (2000). Religion, Ethics and Stock Trading: The Case of an Islamic Equities Market. [REVIEW] Journal of Business Ethics 23 (2):145 - 159.
Michael L. Anderson, The Origins of Collective Overvaluation: Irrational Exuberance Emerges From Simple, Honest and Rational Individual Behavior.
J. Barkley Rosser & L. Kramer, State-Space Estimation of Rational Bubbles in the Yen/Deutschemark Exchange Rate.
J. Barkley Rosser & Jamshed Y. Uppal, Financial Development and Bubbles: The Case of the Karachi Stock Exchange of Pakistan.
J. Barkley Rosser & Jamshed Y. Uppal, Emerging Markets and Stock Market Bubbles: Nonlinear Speculation?
Added to index2009-01-28
Total downloads2 ( #366,722 of 1,102,136 )
Recent downloads (6 months)1 ( #306,622 of 1,102,136 )
How can I increase my downloads?