Research on multiple bubbles in China's multi-level stock market.

Financial bubbles have always been a topic of long-term concern for economists. Understanding bubble phenomenon and dating the period of bubbles in real time can provide an early warning diagnosis for financial bubbles and help regulatory authorities to control it and maintain market order. The gene...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Ge Li, Ming Xiao, Xionghui Yang, Ying Guo, Shengyi Yang
Formato:	article
Lenguaje:	EN
Publicado:	Public Library of Science (PLoS) 2021
Materias:	Medicine R Science Q
Acceso en línea:	https://doaj.org/article/76db01423fe146db9f1ddf720954dced
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:76db01423fe146db9f1ddf720954dced
record_format	dspace
spelling	oai:doaj.org-article:76db01423fe146db9f1ddf720954dced2021-12-02T20:18:52ZResearch on multiple bubbles in China's multi-level stock market.1932-620310.1371/journal.pone.0255476https://doaj.org/article/76db01423fe146db9f1ddf720954dced2021-01-01T00:00:00Zhttps://doi.org/10.1371/journal.pone.0255476https://doaj.org/toc/1932-6203Financial bubbles have always been a topic of long-term concern for economists. Understanding bubble phenomenon and dating the period of bubbles in real time can provide an early warning diagnosis for financial bubbles and help regulatory authorities to control it and maintain market order. The generalized sup ADF (GSADF) and backward sup ADF (BSADF) tests with flexible window width can effectively detect and date periodically collapsing bubbles in real time. Based on the financial present value model, this paper applies right-tail recursive ADF test to test multiple bubbles in China's multi-level stock market. Unlike the other researches in China, the ratios of the real stock prices' natural logarithm to the real dividends' natural logarithm are used for our testing instead of stock price index. Empirical results show that there are 8 bubbles in the Main-Board Market, 6 bubbles in the Small and Medium Enterprises Board (SMEs), and 4 bubbles in the Growth Enterprise Market (GEM). These bubbles are liquidity-driven and presuppose a loose credit cycle, with the exception of bubbles in 2014-2015. The frequent emergence of bubbles in a short time indicates that China's stock market is still emerging market. In addition, frequent fluctuations imply there is a serious "herd effect" and a lack of monitoring mechanism for bubble risk. This study not only enrich the real-time dynamic research on periodical bubbles of China's stock market, but also provide an empirical reference for investors' investment choices, financial decisions of listed companies and warning mechanism of regulatory authorities.Ge LiMing XiaoXionghui YangYing GuoShengyi YangPublic Library of Science (PLoS)articleMedicineRScienceQENPLoS ONE, Vol 16, Iss 8, p e0255476 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Medicine R Science Q
spellingShingle	Medicine R Science Q Ge Li Ming Xiao Xionghui Yang Ying Guo Shengyi Yang Research on multiple bubbles in China's multi-level stock market.
description	Financial bubbles have always been a topic of long-term concern for economists. Understanding bubble phenomenon and dating the period of bubbles in real time can provide an early warning diagnosis for financial bubbles and help regulatory authorities to control it and maintain market order. The generalized sup ADF (GSADF) and backward sup ADF (BSADF) tests with flexible window width can effectively detect and date periodically collapsing bubbles in real time. Based on the financial present value model, this paper applies right-tail recursive ADF test to test multiple bubbles in China's multi-level stock market. Unlike the other researches in China, the ratios of the real stock prices' natural logarithm to the real dividends' natural logarithm are used for our testing instead of stock price index. Empirical results show that there are 8 bubbles in the Main-Board Market, 6 bubbles in the Small and Medium Enterprises Board (SMEs), and 4 bubbles in the Growth Enterprise Market (GEM). These bubbles are liquidity-driven and presuppose a loose credit cycle, with the exception of bubbles in 2014-2015. The frequent emergence of bubbles in a short time indicates that China's stock market is still emerging market. In addition, frequent fluctuations imply there is a serious "herd effect" and a lack of monitoring mechanism for bubble risk. This study not only enrich the real-time dynamic research on periodical bubbles of China's stock market, but also provide an empirical reference for investors' investment choices, financial decisions of listed companies and warning mechanism of regulatory authorities.
format	article
author	Ge Li Ming Xiao Xionghui Yang Ying Guo Shengyi Yang
author_facet	Ge Li Ming Xiao Xionghui Yang Ying Guo Shengyi Yang
author_sort	Ge Li
title	Research on multiple bubbles in China's multi-level stock market.
title_short	Research on multiple bubbles in China's multi-level stock market.
title_full	Research on multiple bubbles in China's multi-level stock market.
title_fullStr	Research on multiple bubbles in China's multi-level stock market.
title_full_unstemmed	Research on multiple bubbles in China's multi-level stock market.
title_sort	research on multiple bubbles in china's multi-level stock market.
publisher	Public Library of Science (PLoS)
publishDate	2021
url	https://doaj.org/article/76db01423fe146db9f1ddf720954dced
work_keys_str_mv	AT geli researchonmultiplebubblesinchinasmultilevelstockmarket AT mingxiao researchonmultiplebubblesinchinasmultilevelstockmarket AT xionghuiyang researchonmultiplebubblesinchinasmultilevelstockmarket AT yingguo researchonmultiplebubblesinchinasmultilevelstockmarket AT shengyiyang researchonmultiplebubblesinchinasmultilevelstockmarket
_version_	1718374233407488000

Research on multiple bubbles in China's multi-level stock market.

Ejemplares similares