David Bourget (Western Ontario)
David Chalmers (ANU, NYU)
Rafael De Clercq
Jack Alan Reynolds
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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.
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